The lock icon and LED on F12 is to enable "GAME mode" which is intended to lock out keypresses from the Windows key during a gaming session.
Has the keyboard ever worked? Have you tried unplugging it and plugging it back in? Will it work on any other PC?
If it still won't work after you try those couple things, I'm afraid you received a lemon, and should contact Massdrop (assuming that's where you bought it) for a replacement.