The CHE should have instructions on the box it came in... generally they suggest you use their brand of clamp lamp.

I know you tested the socket, but have you tested the actual lamp... maybe there's a flaw in the cord somewhere?

I know you got it at an expo, but if it's still open, I'd take it back. Did you get a receipt? It should have the seller's info if you can't get back into the expo. Maybe you could contact them and get a replacement?