You didn't use teflon tape, or plumbers dope, when you installed the sender did you? If so take it off, the sender has to be grounded to the block to work.
If not then its either the wrong model sender, or its a temperature switch, not a sender.
Whats the resistance of the sender measure, between the centerpost on the sender and the block when the engine is cold, and what is it when the engine is hot?