Sometimes you have to prime the pump, by running it without having it attached to the mist head, first. You remove the hose from the mist head (remember to push down on the collar while you pull the line out), and run the pump, with the end of the hose over a bucket, until water comes out of the hose. Usually takes 30 seconds or less. Turn it off, hook the mist head back up, and turn it on again to make sure it worked.
ETA:
Also, make sure you have your intake hose in the right spot. One side is for water going into the pump, and the other side goes to the mist head