>> ... understanding was that there was no setup to this thing; you just plugged it in and it worked ...
The application (which is generating the print job(s) which should supposedly include bar-codes) must include the correct font selection sequences within the print jobs.
Surely you got some documentation (on a CD, perhaps) when you purchased the stick?
And do you know for certain that this stick is compatible with your chosen printer model? (and the application and/or printer driver?)