It appears that you are in Jefferson county Ohio. If this is correct the radio needs to have the Jefferson County Trunking system entered in.
My guess, the radio shack employee only put the conventional channels in the scanner which are only use by Public Works.
All the Law Enforcement and Fire Agencies in Jefferson County use the Jefferson County Trunking system.
Trunking is a interesting concept and to help better understand it here is a Wiki on Trunking
Trunked Radio Systems - The RadioReference Wiki
You are going to want to look in the user manual on how to program a trunking system. And use this as the data base for information;
Jefferson County OH Trunking System, Jefferson County, Ohio - Scanner Frequencies
It might be beneficial for you to purchase some programing software for this radio. The newer style of Digital Trunking scanners can be hard to understand at first. And frustrating to program manually.
I use ARC 500 and really like it, they both have trial periods and are great software. You do not have to buy the software it is just recommended.
I hope this helps, if you have any more specific questions feel free to ask.