Welch gave some good advice. The legend does not have an electronic compass. This means your compass works by GPS only. If you stand still your compass will not work. For the GPS compass to work you must be moving, the faster the better. As you move along GPS takes your position every couple seconds then your Legend figures out what direction you are moving.
Also try practicing in your back yard. Drop a marker then save your location as a waypoint. Then walk away and practice finding your marker.
You said you were looking in a shopping center. Was this a micro? If so it may be easier to find a traditional cache in a large container, like an ammo box that is rated easy to find.
As I am new to the sport too I usually go after caches that were found recently so I am pretty sure they are still there.