If you can, return the razor for a full refund. It will not give you a shave that is comparable to one with a quality blade. In fact, you're not even the first today that I advise to get rid of their first purchase, and I am sorry for you that you've spent money on something that is not worth it.

Take a look at the classifieds here. Most of the razors on sale are shave-ready, which is a definite must if you just start out shaving with a straight razor. Unless it is hand-honed, it is not shave-ready. I strongly recommend not buying cheap eBay razors until you're familiar with quality brand names and what to look for.