Silly as it sounds (and something I learned the hard way) is that with some mini pumps (and some full sized pumps), you have to flip the lock up to lock the pump on the valve, and click it back down to release it, which is contrary to all the old habits you used to have on how to use a pump.

Also, if you have presta valves (skinny, litte nut on the top) make sure the valve is unscrewed all the way and that the part that wiggles is 100% straight when it goes into the pump head.