Did you try it at the check out? I have had this happen before and figured that either the kiosk was down or vanilla was down. Tried a different wal-mart and it worked fine (had to use check out since kiosk was down).
The first 4 digit pin you enter is what the pin is set to. You can call the number on the back of the card to reset the pin though. Also, no need to make a "real purchase" first.
I bought a mygiftcardsite variable load GC and tried not setting the pin and using the last 4 of the card...bad move, the card was forever locked out from using as debit w/pin even after I called the number to set pin.