Melissa, congratulations & welcome to our little corner of the world.
The cutting strip is actually a white piece of smooth plastic, so yes, remove the protective covering that it's shipped with.
Also, confirm that your blade is in the REAR position hole (the front is for the pen holder).
One last thing --- while USCUTTER is promoting and providing the SureCuts software, there is another (free) option that you might want to look into: SignBlazerElements.
http://support.uscutter.com/index.php?/Knowledgebase/Article/GetAttachment/190/24198
Your Cutter Cousin,
Slice