Check if the pump is plugged in. Is it? Unplug it.

Open it and see if you can locate the membrane(s) (mine has two):

If not, see if you can still give it back and try another one.

The membranes (centered in the image) are attached to small retainers, which sit in a piece of silicon tube (left). At the other end they have a magnet, next to a coil (the fat white thing to the right). In my pump, the whole left part (everything but the coil) was attached to the case with one screw. You can see that screw above, between the magnets.

Loosen the screw and take the membrane block out of the case:

The membranes sit on a cylindrical chamber. Peel them off - avoid damage, but they're quite robust - and pull them out of the silicon tube that is holding the retainer:

The round thing (I'll call it the plate) underneath the membrane has two white pieces of rubber in it. These are the vents. One of them lets air pass into the chamber, and the other one allows the air to get out through another hole.

Unscrew the plate. I had to use a sharp knife to remove an alignment pin on the back. Rotate it by a 180 degrees, effectively swapping inlet and outlet valve, and screw it back in.I had to do this twice (once for each membrane).

Reattach the membrane and also put everything else back into place. From the outside, the pump should look exactly like before, so mark it as a vacuum pump if you like.