Before you find fault with the MSD box be sure you have 12 Volts at the terminal where you have attached the small diameter red wire. The source should have 12 volts when the key is in the Run position AND when in the Start position, it must be hot in Both positions. If this is not the case, stop and find another connection. All to often we are quick to blame the MSD box.
The heavy 10 gauge wires should be connected to the ground (-) and the starter solenoid or other CONSTANT unswitched 12 (+ red) volt source. Be sure there is a ground cable from the block to the chassis with good contacts. MSD burns the boxes on a bench test before they are boxed for shipment, a fresh box that is faulty is rare. These are good products.
Take it one step at a time.
http://www.msdignition.com/
Click on "Tech Support", then "Trouble Shooting"
Rick