Are you sure you bought a lens with Canon AF mount? To me it sounds like you got one with a mount for a different camera.
Does the mount on the lens look like this?
If it doesn't, you got the wrong version of the lens. If it does look like the mount in the picture, your just mounting it incorrectly.
If you hold the camera with the lens mount facing you, the red marker on the lens should be in the 12 o'clock position, lining up with the red marker on the lens mount on the camera.
The turn the lens clock wise, about an 8'th of a full turn, and the lens should click into place.
I hope this help you!
/Chris