There are a couple different things to check.
When your probe is heated up by the exhaust, it send a very small current to the gauge that is measured in Millevolts. Because of this, it is essential that the cantact be clean and connected well. On that same note get ahold of Isspro and ask for directions on how to test the probe, thermocouple wire and the gauge. They will probly tell you to take a torch to the probe and measure the mV that the probe is kicking off (you will need a multi-meter). Then there is a procedure for testing the guage but i can not remember it (sorry) but if I remember right it's very simple. Hope it helps.