What sort of camera are you using?
When you set up the device you will get a screen that gives critical information, ID, Key, and where to send the images.
If you read some of this thread you will see that many (myself included) are having better luck sending directly to an IP address instead of the domain address that WU will give you once your device is set up.
Setup is really pretty easy - getting the WU servers to accept your ftp is the tricky part, IMO.