ok the lights shouldn´t stay on - i think only one comes on on my 4780x2 then goes off almost immediatley.
Check the card is in the slot properly - it should snap in
Check the power cables are properly connected to it
if not it could be the card is faulty
Oh and post your entire system specs, just to make sure you´ve got enough power
Don´t worry though, the worst that will happen is you´ll have to RMA it, which shouldn´t be a problem