Are you using a cable release? Or a wireless remote?
If you're using a cable release, it's like using the shutter button on the camera: you have to hold the button down for the duration of the exposure (which is why there's a push'n'slide lock). If you're using a wireless remote, it should work with one press to open and one press to close (at least that's how my Canon works).
Also, does your display say 30" or "bulb"? You may need to be in Manual mode to scroll down to "bulb".
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