I haven't had this happen myself, but I've gleaned from other threads that it's likely that either the internal memory card isn't seated correctly or is faulty. If you have the opportunity to return the Vox under warranty for a new one, take it.
Otherwise (and this will void any warranty that you
do have), you can follow the directions in
this thread to disassemble your Vox. First, try just removing the internal memory card and putting it back in; it may have become unseated during storage or transit. If that doesn't work, you may need to re-image the memory card. To do this, you'll either need a second Vox or a computer that can be booted to Linux.