Why won't the ring tone on my iPhone 4 work?

I got my brand new iPhone 4 the other day and I keep trying to set a ring tone on it, and when I select the one I want and someone calls, it won't ring. It won't even vibrate when I put it on vibrate. Its brand new, never been used, so I don't think it could be broken. Maybe its on a weird setting. Either way, when someone calls or texts me, I won't know because I can't hear it.

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