I find cheap stud finders (which is all?) to be extremely unreliable. Return it if you can... I just use a small high-strength magnet (I usually grab a OXO bag clip with a strong magnet that lives on our fridge) and rub it across the wall lightly grazing the surface. It will stick to the drywall screws. mark them then scan up and down to make sure you find more to confirm its a stud and not a random screw from something else... Remember they are usually on 16" centers (in the US) but can be on 24" centers for some interior (non load) walls. They can also be closer than 16" when an extra is needed for a corner or a intersection with another wall, etc.

And, its confusing for everyone... The "Pro" that mounted the microwave in our kitchen attached it to the 3" PVC drain pipe in the wall instead of a stud... found that when renovating the kitchen...