The thing is, it sounds to me like you have a typical IKEA scenario, I take it the terminals for the lampholders are cup shaped with a grub screw that you do up to A) Hold the lampholders in place and B) Make the electrical connection?
If so and you have power, as you said "They glow then go off" The SELV Transformer is failing to do what it is desaigned to do and is therefore faulty and probably was before it left the factory.
Likely case scenario is that after it was checked and prior to it being packaged for shipment it somehow got damaged, could have been dropped etc,etc.
The only thing you can do is what Sparky first suggested, take it back to where you got it, they "IKEA" have this happen a lot over here in the UK, so I guess it's the same in the US.
Sorry that I cant be much more help than that, but in my proffessional opinion this is the only option open to you.
You shouldnt have any problems exchanging it, consumer rights and all the other.
Nige.
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"Quid non Resolutio"
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