I've never had that happen to that level. However, I did get a "-2" (scale-wheel) locomotive that had the switch in the 3-rail position. This shorts the wheels together for three-rail operation as it is intended that the pickup roller be used for the hot connection.
The switches have been located in various places over various models. I believe the earlier C40-8 models (Proto-2) had the switch on the chassis, but some diesels had the switches under the radiator housing, while the GP35's have them under the dynamic brake fan housing.
If your unit is Proto 3-2 compatible (goes both ways), find the switch and check its position. If the switch is in the 2-rail position, make sure that the wheels are positioned properly as stated above. I haven't encountered a backward wheel set yet (I test them in 2-rail before putting the rollers on for use at the club). The nice thing about the 2-rail compatible MTH locomotives is that they'll run on DC with engine sounds (you won't have the horn/bell control unless you use the DCS system).
I hope this helps some.
