I'm not an adwords pro but I have my 2 cents:
$500 and 250 clicks means you're paying $2 per click... this makes me to beleive one of the following:
1. You're overpaying (trying to be #1 on any keyword, yeah, broad keyword)
2. You're trying an over-competitive niche with crazy click prices (like web hosting for example). And no, you probably won't make any buck if that's the case, because there will always be someone getting more from the visitor than you (as a cpa-based affiliate do). Yep, some niches are being owned by service(offer) owners themselves or guys with bigger affiliate cut/volumes. You're just the weakest link in some niches, just because you're too small and too late.
3. Your quality score sucks (Very possible), which leads to some crazy click prices. (And if that's the case, your competitors probably pay like 5 times less per click than you do)
4. Your banner CTR sucks. Very possible as well. Your competitors with better CTR payng less.
1 conversion from 250 clicks (true, not enough clicks to analyze), but your offer might suck. Do you have anyone promoting this same or similar offer there ?
All these cases contain the "what to do" answer in themselves.
Unlike many guys out there, I'd suggest you to set a very small goal. To make, let's say $10. (Not in one day, just make it). When done, just analyze and multiply the model. Play with 20-30 bucks budget a day. Otherwise you'll be throwing out 1000s bucks a day and will leave the game too soon, unless you're Bill Gates
Good luck!