Hold it in your hand and turn the bolt to expand it. See if you can expand it to where it's too big for the fork. If not, it's too small, either because your fork has thinner walls than it's designed for, or because it;s for a 1" fork and you have a 1-1/8" fork.

If you can expand it bigger than the fork, take it apart and grease the threads, then reassemble it and expand it to where it's just big enough that there's a bit of resistance as you push it in. Then friction should hold the collar while you turn the bolt to lock it in place. If it still slips, paint the collar with rubber cement, let it dry and try again.