OK before we get started are you talking about a clamp lamp like you use to put on a desk ? The kind you usually put incandescent bulbs in ? Did you buy a metal halide bulb that happened to fit in the socket and tried plugging it in ? It didn't work ?
Metal Halide bulbs require special fixtures containing a ballast for Metal Halide bulbs to get them to fire.
Does your clamp lamp say anywhere it is made for MH ?