It's most likely the batteries need replacing, it takes 2 AAA size batteries.
There should have been some instructions with it showing how to replace the batteries, either in the pack, or actually printed on the pack.
The web site isn't very helpful (with Cateye, you can download manuals and instructions), but looking at the photo,I'd say that you have to remove the lens to replace the batteries.
If you can't figure it out, and have lost the instructions, try at the shop you bought it from, they should be able to help, or at least have another light with the instructions,
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