Been there, feel your pain. I also have one of those Walmart Phillips antennas and got pretty disgusted and was close to throwing the thing out. Then I did some reading on how it was supposed to be used. This might seem obvious, but it took me a while to get it working. I don't quite think of myself as an idiot, but it wasn't as easy as I thought it would be. As others mentioned, go to Antennaweb and look up what you should be able to get, the direction, and frequency. Anything within about 20 miles should be fair game, depending of course on whats in the way and interfering with your signal.
Here are a couple of useful links:
AntennaWeb.org
AVSForum - Lots of good info.
The thing I didn't realize about those little antennas is that they are pretty directional and UHF/VHF really makes a difference. First off, the antenna has to be pretty much away from signal interference, so unless you have a good one, avoid placing behind the TV. Best bet is to elevate the antenna as much as possible, but if you use a long cable run you'll get too much loss. Probably 25' or less, maybe 50', is ok. I use about 15'. For UHF (above broadcast 13), you pretty much just point the loop in the right compass direciton/azimuth and you're good to go. For VHF (channels 13 and lower) they're going to be hard to pick up regardless because of a lot of interference, etc. in that frequency range. (One of mine was on 13, hence the difficulty.) The loop part doesn't do much for you there, it's all the rabbit ears. Now here's a tip. As long as I've used rabbit ears, I never heard this, but the way to mount them is horizontal with a total span of a factor of twice the frequency. So if you really want channel 13, put them horizontal pointed at the broadcast tower with an optimum span of 26" or 52"; channel 10 would be 20" or 40"; etc. If your antenna is powered, you'll want to start with that off, because too much gain can also drown out the signal. You pretty much use the least amount of gain possible to still get a signal. I even read about people buying high dollar UHF antennas and then taking an ordinary wire of the correct length and mounting that on a strip of wood to serve as a VHF antenna! Do a little reading before you give up entirely. It's well worth it.
I'm routing mine through a Dish receiver, so I get a digital signal meter when I switch to an OTA channel. I get a couple in the 90% range and one about 70+/- and it works pretty well. HD signal is also all or nothing, so don't expect any fuzz or snow like the old manual sets. Again, this may seem obvious, but it would have helped me a few months ago when I started learning it all....