Turns on, yet not on?

I put in the batteries, and close it tight and then I push the button. The light flashes, and continues to flash. It's in play mode, yet there's no blue screen, as well as whenever I push any other button, nothing happens. The only thing that seems to work is the power button. What's going on and how can I get it to work?

Thank you for reading this and perhaps responding to it if you do.