chances are you have connected it up wrong,
make sure the incoming live and neutral go in the incoming live and neutral terminals on the p/sw, and the out going live and neutral go into the outgoing live and neutral terminals.
when the p/sw is turned off the little neon will not be on. when you turn the switch on the neon will turn on and your shower should have power to it and hot water will follow.
british jobs for british workers, February 2010