Hey K-O-S. As Voudas points out, you have to move into the subject a bit more and the feedback will seem really odd at first until you start scanning. To begin with as you move the scanner around, the feedback will appear very broken, scattered, even random, but once the scanning starts and Skanect starts building the mesh, you'll be able to better feel your way around the subject.
If however, you are not getting anything from the sensor, then that could be something entirely different. Can you post a screen shot of what you're seeing when initiating the session?