If its new out of the box I did the same thing momentarily. The way it comes out of the box the arms are on back to front. Back off the clamp 'jaw' end and pull the arm part towards the jaw and the smaller nylon end opens up, this end goes onto the rack and the other jaw clamps to the bike.
I remove the arms all together as they pop off so easily this way when I am not using it just so if someone does decide to try and nick the rack they will have no arms.