Return it if you can.
If not possible--what has been said already above-- try and recharge the batteries you have and if that doesn't work---get a new set of good quality batteries and try that first.
Do you expect anyone is going to know what "bx8 blue shadow " laser is much less how to fix or even to suggest a fix without any details about what is wrong with it, could be anything, and no photo of it, no specifications, and no link to anyone selling it of any kind?
The name is just meaningless reseller marketing name for a low cost mass produced Chinese laser sold by hundreds of resellers.