Are you leaving it long enough? Dehumidifiers cool refridgerant, and moist air freezes onto the elements inside. When suitably frosted, the compressor switches off, the ice melts and collects in the pan. The fan runs all of the time. Naturally the whole process takes a little while to work. If you have left the thing for a few hours, see if you can hear the compressor cutting in - a noise different from the fan.
John, July 2008
