Unfortunately it sounds like you have bought some memory that is incompatable with your motherboard
This used to be a big problem with SDRAM but DDR is usually more accepting of different makes, I assume that its a DDR motherboard if it will take 4 gig :?
The only way to make sure that you are getting compatable ram is to buy it from somewhere like
http://www.crucial.com/uk/ which guarantees that their ram will work if you use their system for identifying the make and model of motherboard.
Its a little bit dearer than some generic memory that you can buy elsewhere but usually not by too much