Here are some basic suggestions:
1. My phone displays that battery question mark symbol when the battery is removed but the charger cable connected. Is your phone plugged into the charge cable? If not, then the battery must be supply some power to display the image, but is apparently not recognised.
2. If the phone with battery, but off the charger is dead, then you can try cleaning the contacts - or checking there is no protective cover on them.
EDIT: 2.5 Have you checked that the phone still works & charges with the original battery? It could be an issue with damaged contacts or something else with the phone itself.
3. This may be irrelevant to your problem, but the comments on the mugen website suggest this battery requires some prior conditioning and you don't mention if you have done that.
Mugen Power 1400mAh Extended Battery For Palm Pre, Palm Pre 2 and Palm Pixi - Palm Pre 2 - PalmOne
I assumed this was merely a few full charge/discharge cycles to attain full capacity, so as I say, maybe irrelevant. Rechargable batteries in general are usually supplied with low or no charge and an instruction to charge for some hours before use.
4. If, having checked and cleaned the contacts and followed any supplied instructions on conditioning the battery for use, the phone is completely dead, then it would seem clear that it is faulty and you should enquire about exchanging it.
5. Finally, (I'm not sure how to go about this and Mugen would be the one's to ask) it's likely the battery was supplied with only a small charge for safety reasons and if you didn't charge it before your initial use, you may have depleted it to a level too low to boot the phone (a possiblilty if the battery image is displayed off the charger) and too low to recharge.
There may be a way to bootstrap the charging process - possibly by part charging your original battery then (somehow) placing both batteries in a circuit with the charger. The original would supply enough voltage to start the charge cycle, but the juice would also go into the mugen - until it also held enough to be charged as normal.
Something similar with a touchpad is here:
However, as you will notice from the above example, YOU SHOULD NOT DO ANYTHING LIKE THIS UNLESS YOU KNOW WHAT YOU ARE DOING AND HAVE TAKEN PRECAUTIONS AGAINST FIRE, EXPLOSION AND ELECTROCUTION. Also, this scenario might not apply to a phone.
If the battery is new from Mugen, your best bet is to talk to them and arrange a replacement - they are best placed to revive their own battery and it's possible that the voltage has dropped after a long time on the shelf rather than any action on your part.