First, let me welcome you to the forum, and to the wonderful world of Krags.  They are an addiction for some of us (and they do tend to multiply in your safe when you're not looking, LOL).

Butlersrangers has some good advice, and pictures will surely help too.  With regards to the availability of useful ammo, first, if the ammo you tried to fire was older (with a headstamp such as: Rem-UMC, Superspeed, or anything that says 30 USA or 30 Army), I would keep them and not fire them as they may be compromised.  If it's newer Remington or Winchester ammo (30-40 Krag and R-P or Winchester headstamp), you should not have a problem unless you have a striker problem as Butlersrangers suggests.  Also, take a look down the barrel and ensure that you didn't have a squib and a bullet lodged in there. 

Save Your Brass!   Yes, 30-40 ammo is not cheap and hard to find.  Most of us reload, which is very cost effective.  There's no shortage of helpful people on this forum who can help you get started with reloading (myself included) and once the initial startup cost is recouped, you can shoot your Krag for very little money.