I would recommend reinstalling the filter, just in case it is a minor situation of a bad install. Another possibility is the water filter is defective, and you may need to return it to the vendor you purchased it from.
Additionally, some models use a chip to allow some water filters to work with the refrigerator. This is a practice known as DRM, and would potentially cause the issues you're experiencing. I would recommend providing your exact model number so we can rule this out, and provide further guidance.