New Engine won't run

If its brand new, Id just take it back to the store you bought it from and see if they'll swap it out for another set.

If you want to try and fiddle with it, make sure the connector in the drawbar between the engine and tender is fully seated (it'll "click" into place). Also give it about 30 seconds after you start it for the capacitor to charge up. I assume that all you have is the remote that came in the set? If you have a traditional transformer (with a dial and horn/bell/direction buttons), you can see if the engine will move without the command control, but it doesnt sound like you have one of those.

Right, no other remote. We will try pushing in the connector once again, but fairly certain it is in there securely (we've gone through all the steps several times). We have also tried waiting a while after turning on the SU/SD button before trying the throttle. I'll call the online merchant first thing in the morning--looks like from the invoice they have a very short window for returns.

Did the online seller test the engine before it was mailed?

It almost sounds as if the engine has been run on a full DCS powered track (and assigned a number).  If so, you need to get the engine reset back to "Factory Reset" parameters by using a full DCS system.

Greg and Bob, thank you for your answers. I am going to call the retailer (Legacy Station in Atlanta) this morning.

Greg,

Assuming you do not have the full DCS system hooked up you complete a factory reset by combining 1 whistle and 5 bells from the transformer.  

That's incorrect.

Regardless of what the manual, engine or transformer, might say, a transformer reset is only a Feature Reset, not a Factory Reset. It will not change an engine's DCS ID# or remove its Custom Name.

Bob,

The engine would not start up at all if this was true.

Dave

Being the originator of this thread, I wanted to report back. The knowledgeable guy at Legacy Station where I purchased the MTH Union Pacific is fairly certain there is a defect in the connection between the tender and the locomotive. I am returning it and replacing it with a Polar Express, a little closer to what we were looking for in the first place. I wanted to thank everyone for their responses to my query.

I'm glad you ended up with what you wanted. 

--Greg