I was wondering the same thing when I got one a long time ago, I was twisting and turning trying to figure out how it locks. Finally I just set it up and it worked. Then it got stuck on the sink and I had to leave it there for the landlord to deal with when I moved out.
I tried wd40 with vicegrips and that sucker wouldn't budge. He probably was wondering what the hell that thing was and why it spits water out the side when you push the button on it...