If the device is not wired probably, it will not set. Make sure you've wired the LINE and LOAD terminals properly. Make sure you use the markings on the device, and don't simply wire it how the old one was. The LINE terminals are where the wires coming from the source should connect, while the LOAD terminals are where the wires going to other devices connect.
Make sure all connections are tight, and connected to the proper terminals. Brass colored terminals are for ungrounded (hot) connections. Silver colored terminals are for grounded (neutral) connections. Green terminals are for grounding conductors.
Make sure you've pressed the reset button in fully. Sometimes you have to press the button in quite far. Also note that with newer devices, when power is restored to the circuit the device will have to be reset.
Try replacing the GFCI. Every once in a while you get a bad device.