Once your telescope is polar-aligned, the setting circles should be adjusted to correlate with the alignment of the celestial sphere. The Dec. circle normally doesn't move, but it might be adjustable and then locked after fine tuning. The RA circle should be adjustable, but it shouldn't turn freely of their own accord. Do they have some sort of tensioning screw or similar which will help hold them in position?
The circles on low-cost equatorial mounts are not necessarily very precise, so until you get the hang of setting up accurately and using them, they will probably only get you to within a couple of degrees of your target, which might not land in the field of view of even your widest angle eyepiece. Try setting up on bright easily visible targets like the Moon, Venus, Jupiter, Sirius etc first before you try to track down the fainter targets. (And remember that the Moon and planets move, so you need to get their
CURRENT R.A. and Dec.!)
Have a good read of these "How To" articles, and then get back to us if you're still having troubles:
http://www.skyandtelescope.com/astro...our-telescope/
http://astro-tom.com/telescopes/setting_circles.htm
http://www.iceinspace.com.au/63-498-0-0-1-0.html