did you install the driver for your os (operating system)?
the drivers for xp are different than the ones for win7.
i'd uninstall/reinstall your tablet, but i have old faithful (a really old bamboo fun. goin' on four years next summer!), so my drivers would be very different than yours.
EDIT: i reread your post and i noticed that you said you got a new pen. is the pen made specifically for the intous 4 tablet? i'm pretty sure tablet pens can't work on different tablets than the one that it's made for.