BC125AT new user; search finds nothing at all

I'm new to this so maybe I'm making a basic error somewhere. I bought a Uniden BC125AT. I screwed on the included antenna, and turned it on. I hit Search, and it ran through everything across all 9 banks, and found (stopped at) only 1 place, with some noise and clicking. I live in a pretty crowded part of the country (suburb of Boston) - surely there's a lot of transmissions going on - what am I doing wrong that it doesn't find anything??



Also, when I hit "scan", it says "All channels locked out" - don't know if that's related?