The lighting bolt indicates that the unit is fully charged.
I have purchased many of these. The unit did not come with a manual. I had to download the manual. Go to
http://www.sandisk.com/microsites/sansafuzeplus/index.html You can get a manual and firmware upgrades at the bottom of this page.
First try holding the power button down for 30 seconds and then again for 4 seconds. The 30 seconds is a reset.
If this does not work send the unit back or get support from SanDisk. I have not had to get support. I am not sure how to get this support, but I am sure it is free.