I bought it on tuesday and thought it was holding itself ok on a rock, but I was wrong. Every time I come home from work it's always on it's side. It won't stick. I don't know what to do
Leave it alone. As long as you have the proper environment (lighting - T5 or MH, 0 am, 0 ni, 0 na) then it should be fine.
Sometimes takes a week or two to get acclimated to the new environment and find a place it likes in the tank. DO NOT move it, just let it find its own place.
This one is real goofy, before I left for work it was upside down. When I bought my bulb anemone put set it by a rock and waited for it to stick it did. Hasn't moved since. It's been there for 3 weeks now.