What does the terminal window say? I can't remember exactly, but it should say something like 'New user' and 'Calibrating user' and 'Tracking skeleton' or something to that effect. It sounds like you are not getting past calibration.
If you run osceleton -w and view the depth window do you ever see the skeleton projected on your image?
I'm having a similar problem. If I just have a udpreceive object and a print statement setup in max and look at the print window, this is what i'm getting fed, which doesn't seem to correspond with what i'm reading and should receive.