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Make sure that WiFi is enabled on *both* devices.
And, that in the Network Settings (or equivalent on the iPhone) your main high-speed data carrier is shut Off. The 2G/3G/4G facility, in other words, should be shut Off.
Unless you are trying to pair by Bluetooth, of course... in which case the WiFi, and the 2G/3G/4G, should be both shut Off, and make sure the Bluetooth is Enabled on both devices, and make sure that the Bluetooth 'pair' or 'pairing' facility is turned On and/or Enabled.
Then, if they still don't work, try connecting or pairing in the other direction, from the other device to the one device, rather than the one device to the other. (Where does the 'device not found' message appear?)
It's good that you consulted us immediately about this, just after buying the Forerunner. It might be defective from store, and subject to an immediate return-and-exchange policy.