The rifle itself has no batteries. It is a passive plastic shell that holds the Wii Remote—wait, this is Xbox 360 Kinect.
Correction: Cabela's Big Game Hunter on Xbox 360 uses the **Kinect sensor** (no controller). There is **no rifle accessory** for the Xbox 360 version. The Wii version uses a Wii Zapper / plastic shell for the Wii Remote (which takes 2×AA).
Ensure the Kinect sensor is plugged into the console's dedicated port (or USB via adapter for 360 S/E) and calibrated in Settings → Kinect.