My built-in flash on my DSLR is not working?

So I just got a new Nikon D5000 DSLR and the built-in flash isn't working. Or maybe it is and I'm just really stupid and clueless. I put it on auto, then I turn on the flash, the flash pops up, but it never actually flashes. It's just sitting there. I don't know if I'm doing something wrong or if I'm missing something but any help or clues? If not I'll just return it.

Take the camera out of auto mode. When in auto, you turn your camera in to a big version of a dumbed-down compact camera, and you are prevented from making many adjustments.

Check with a second person or take a picture of you in a mirror in a dimly light room. You should clearly see a flash. If not you have a broken flash lamp and you need to claim warranty.

Just test it in a dark room.