I am going to say something broke in the scope. Either send it back to the seller for a new one or trash it and go buy a decent scope.
As for some of the comments sounds like some of you OLD GUARD guys need an attitude adjustments. (Just a friendly observation)
If I were you I would pick up a BSA for around $80 to $100.
http://swfa.com/BSA-3-12x44-Essential-Air-Rifle-Scope-P1955.aspx They are a decent enough scope. I have had one for 12 years on one of my rimfires and it is still going strong...