DOD Milkbox Compressor....is something wrong with it?

I just bought a milk box DOD compressor, and when I turn it on, I get this really loud buzzing noise, and when I turn around and face my pickups the opposite way, it stops. Its like its getting really bad feedback from it, I have never had a compressor of any kind before, is this normal or is something wrong with it, or how can I fix it? Somebody help me out!
Daniel