When purchasing filament you MUST make certain you choose the correct diameter.
Within the hobbyist world, there are two diameters: 1.75mm and 3.0mm. Almost all hobbyist printers use the 1.75mm diameter filament.
If you purchase the wrong size, it will not work. The entire printer and its software is based on the diameter of the filament. So know which filament diameter you need before you make a purchase. And since the choices online are often listed beside each other, it is very easy to select the wrong one.
NOTE: Sometimes you will see the 3mm size listed as 2.85mm.