No, it won't start working just by using it. I can think of three possible causes:
1- broken device
2- kernel extension not loaded
3- helper not running
To rule out (1): About this Mac > System Report > Hardware > USB, then check whether the ShuttlePRO appears in the list. If it does not, then there may be a hardware issue.
For (2): About this Mac > System Report > Software > Extensions, then look for ContourShuttle and check the Loaded column. If it says No then the extension is not loaded.
For (3): Applications > Utilities > Activity Monitor, select "All Processes" in the View menu and confirm that ShuttleHelper appears in the list.