Jon, is it the Cobra 1, 2, or 3? Did you buy it new? How old is it?
Do you get the "AC" message in the top right hand corner of the screen when underwater with it (or even if it is in a bucket of water)? Seeing "AC" means the water-activating contacts are working properly. If you don't get the "AC" then the computer's contacts (on the back) may be dirty preventing in-water activation and access to "dive mode".
Try taking an old toothbrush, some clean water, and give the contacts on the back a good cleaning. Towel dry, let air dry, then retest for activation. [check your instruction manual -- heading "AC Water Contacts"]
Also, if the Dive mode is set to "off" .... well then, you have to set the dive mode to either "Air" or "Nitrox" to get access to the dive functions [check your instruction manual -- heading "Accessing Dive Mode"]
Failing that, take the device to Howie at Frank White's on Blanshard Street (corner of Fisgard and Blanshard) and ask him to test it.
Good luck!!