turn the power off, unplug the power cord, check to make sure the power cord is unplugged.
Remove the bulb from the socket, wipe it clean set it aside.
go back to the wall socket and make absolutely sure the plug for that ballast is out of the wall.
Look down into the socket and use a needle-nosed pliar to bend the tab in the bottom up to about 30 degrees from the bottom of the socket. wipe off the reflectors while you're doing this, then putt a little bulb grease on the threads and reinstall the lamp. wipe off any fingerprints from the bulb.
plug in the ballast, turn the switch on, make sure any timers in the circuit are set to turn the power on, and let it fire up. It may take a few minutes. If the ballast fails to strike the bulb after a few tries, MANY will reset and not retry for about 5 to 10 minutes.
Just to make sure everything that is OBVIOUS is covered, what was your old bulb, who makes your ballast, what "M-" type is it, and how old is the ballast? Do you know if the ballast is a pulse start or a probe start type ballast? Is it an electronic ballast? Depending on which type of ballast you have, you may need to buy a particular type of bulb to have it fire correctly. The newer Icecap electronic ballasts are the only ones that will fire almost every bulb (I don't remember for sure if there are any that don't get fired by the icecap HQI ballasts)
If it is a pulse start, the capacitor may have gone bad (but doubtful). Also, the socket and reflector usually should have a common ground with the case of the ballast, but this is not an absolute for these units to fire (depending on the ballast again).
Also, keep in mind that as RickO pointed out, it may just be a burning-in issue with the bulb, athugh these symptoms usually indicate some incompatability or improper wiring issue. Check the wiring diagram, if you do not have one on the ballast, check with the manufacturer and get a copy to check your wiring. These diagrams and the original install data sheets will usually have some trouble shooting ideas as well.
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