You do not have a neutral in that switch location. Someone ran a Romex down. One of those wires is black and the other is load (red terminal). You will need to run a neutral down to that switch location for it to work. They should have taped that white wire to indicate it was not a neutral.
IF you feel comfortable, WITH THE WIRES TOUCHING NOTHING, you can turn the circuit back on and use a voltage tester and I am willing to bet one of those wires will indicate voltage and if you tie them together, your light will turn on.
These switches need a neutral because, unlike even other dimmers with lights on them, they cannot work in series. They need to draw a little bit of current to run the radio inside them and that radio clicks over a relay to turn on the load.
If you have the access, replace that romex in your wall with a 3-conductor one (Black, White, Red and ground) Run black as your hot, white as your neutral and red to your load. Chances are, that wire goes up into a box, probably in your light, where you have access to hot, load and light wires.
Good luck.