Okays, I have a few more questions though, please go through these:
1. Is the shortcode put after the wp_head() call?
2. Does the shortcode work in the content (post or page)?
3. If you put some other plugin shortcode to the header.php does it work?
4. If you put the shortcode to the footer.php, does it work?
5. If you switch the theme to default and put the shortcode to the header.php does it work?
These will help me understand the problem, but it doesn’t look like is related to the plugin. The missing stylesheet and shortcode indicates a theme (or core) related problem, but we will see after you try the upper mentioned tests.