I would think that if you got it recently, it should have the latest firmware on it. When it is displaying the "Time". Press the REV and SET button simultaneously. On the top line it should momentarily show the version number. For example it should say 3085. If it is at 3085, then it is the current version.
That being said, if you have a previous version, you do need to update it. Perhaps you can try to reinstall the Burn ShotMaxx app on your computer. Also make sure you use the cable that came with it or one you know for sure does Data. There are some "charging only" cables out there. When you plug it in, you should see either should say chrGE or show the version #. If you don't, the cable may be bad.