Brand New Nail Gun Makes a Dent but No Nails Come Out
Check the pressure
Check the recommended pressure range listed on the gun, and make sure the compressor is putting out a pressure within that range. I've seen similar symptoms when the pressure was too low.  Presumably the hammer didn't have enough energy to move the nail, so it skipped over it instead.
Properly load the nails
If the nails are not properly loaded, they may not be fed into the line of the hammer. You'll end up just firing the hammer into the wood, instead of a nail.
Engage the feeder
Make sure the nail feeding mechanism is in place. If it's not, the nails will not be fed into the line of the hammer. This again will lead to you firing the hammer, instead of a nail.
Nail compatibility
Insure that the nails are compatible with the gun. If they're not, the gun may not fire, misfire, or self destruct.