It's not the best quality, came in one of those 3-lamp sets, but it is
NEW--maybe a year old and barely used. When I turn it on, nothing happens.
Yes, it is plugged in and I have tested the lightbulbs to make sure it is
not the bulb. I have also tried different outlets.

I don't want to throw this lamp away! What is my first step in finding out
what the problem is?