Welcome DeanS -- cut up your credit cards and hold on to your wallet if you're going to stick around!
The simplest thing to try is a different brand of batteries -- you might find one that's a little longer and will solve the problem.
If that fails, you could always trim a bit off the battery tube. (Hey, if it's broken, there's nothing to lose at this point.) I would just twist the tube (minus the head) on top of some wet/dry sandpaper. That might allow the head to seat a little deeper and make better contact.
Don't feel too bad if this is some CMG clone. The originals weren't too reliable either, in spite of many postings saying they're built like a tank. And the "switch" is about as crude a design as one can imagine. I got around 10 of them (I'm an idiot!) and had 3 fail. The battery tubes (the part that is built like a tank) are a little different on the various models and are not all interchangeable, so maybe your flashlight head/tube are just not a good match.
If you get it working, another mod is to put an o-ring around the base of the head on top of the circuit board -- just large enough to keep the battery from rattling around, yet thin enough to allow the "switch" to work. Letting one rattle around in a vehicle is a good way to loosen up the board or break it.
The best thing going for these lights is that they run a long time ... and they make a great spares carrier for AA batteries (I always carried a spare battery for my CMG inside another CMG).
Good luck!