Step one, get or borrow a voltmeter and check across the power plug. It should read in the 12-15 VDC range, with the center pin positive. If it does, the scanner has a problem and you should contact Whistler about sending it back for replacement. You shouldn't have to hold down a button or perform any other histrionics to get the scanner to simply power on...it should have been shipped in a condition to at least power up, even with no programming in it, and AFAIK they still come with "default systems" programmed in. So it ought to turn on and appear to scan, even if you don't ever hear anything.
If there's no or invalid voltage at the plug, and if you have a known good power source providing 12-15 VDC, you can use the mobile power cord to verify that the scanner will power on. If it does, it will be much simpler to return just the power supply to Whistler...but contact them first, as they may even just send you a new one and direct you to pitch the bad one with no need for you to pack it up and send it back to them.