First of all, in order to put the light in lockout, the body and head have to be tightened. I know your light is loose, because you stated that when you press and hold the button down it cycles through the modes. That's exactly what is supposed to happen when the head and body are loosened. In the loosened state, a light press will turn on the light. However, if you press all the way down, it will cycle through the 3 levels. That's so you can pick your momentary mrightness "on-the-fly".
The light has to be tightened in order to enter lockout. I know your light wasn't tightened because you said that the light cycled through the levels when you pressed down and held it. When the body and head are tightened, the light functions much like a "reverse clicky", where the light doesn't actually turn on until you release the button. So here, do this....
1. Make sure the battery is fresh
2. unscrew the light, then screw it all the way down
3. The light will be on now, so click once to turn off
4. click and hold for about 1 second, and you'll see the lockout blink. If not, do steps 2,3 and 4 again.
To get out of lockout, triple click fast, light will come on and stay on.