It won't burn because it's the cheapest, poorest sort of wood available, and it hasn't been dried long enough. I doubt if Wal-Mart's is any better. In my experience with a few of these woods, you had to add other wood, gathered from forest deadfalls, to create enough heat to burn it.
I suppose if you bought some, took it out of its wrapping, and let it dry for a few months or more, it might work tolerably. But everything like this I've ever seen has been the trashiest type of softwood (like poplar), and burns up very quickly when dry, producing little in the way of heat per pound of wood. If it's poplar, it will also "pop" the whole time it's burning, throwing off little bits of flaming wood.
If possible, see if there are any firewood dealers in your area and see if you can pick up small lots from them, maybe a bushel or two at a time, instead of having to buy a cord or half cord of wood.