Plug into an USB port, making sure that the pads on the card will connect with the contacts inside the USB connector.
Your operating system may start install a driver automatically, if this happens, wait for it to finish installing.
Open a text editor such as "Notepad".
Press CAPS-LOCK on your keyboard a few times.
Watch the magic happen as the card types out text into the text editor.
Did you try taking it out and plugging it back in?
Did you plug it in right-side-up? Follow this diagram:
If CAPS-lock doesn't trigger it, then try NUM-lock and scroll-lock (this seems to be a problem with Linux).
If it causes your computer to act weird after unplugging the card, just hit both of your shift keys a few times. This should only be a problem if you unplug the card before it finishes typing, because it may have "held down" the shift key.