Robert,
The DC jumper plugs for that loco are two very small three pronged metal jumpers, packaged in a small plastic bag with a small paper instruction sheet. They are easily misplaced among the packaging and easily lost if someone opened the box before you purchased the loco - but you may double check the box, they may be under the foam liner if it is the older foam lined black box packaging.
The loco will run better on DC without the decoder, but it should have run with the decoder.
If the headlight wire is disconnected, it sounds like someone was inside it before you purchased it.
Bachmann has very good service, but sometimes it takes a while when you return locos.
If I might ask, how/where did you pruchase this loco? Was it still sealed/shrink wrapped?
You might want to read this thread:
http://cs.trains.com/mrr/f/88/t/181314.aspx?sort=ASC&pi314=1
While I do not own the loco in question, I do have a number of Bachmann locos and they are all similar in desgin and wiring.
Hope this helps,
Sheldon