There are two things to check: first make sure you have a USB cable plugged in (in receiving mode it must be powered by 5V and the battery itself is not sufficient).
Second, check what type of RF power socket you have. Etekcity is a popular brand:https://www.amazon.com/Etekcity-Wireles ... 00DQDJJKU/
different vendors may use different protocols and some of them may not be supported by RFtoy's built-in firmware.
You can also try the Arduino RC-switch library:https://github.com/sui77/rc-switch
which supports a more extensive set of protocols. RFToy is compatible with Arduino Lilypad w/ 328 (or Arduino Pro 328 @8MHz). So you can flash any Arduino sketch to it.