We have bought several blueberries, raspberries, and grape vines from Wal-mart and we have always had excellent luck.
There could be a lot of issues but the biggest one is the kind of soil it's in. If the stem is still green, it is still alive - that's a good thing. ;) Did you plant them in very heavy soil that has a lot of clay? That is the main thing that I have seen lead to stunted growth.
What I would do is lift them out and expand the hole you planted them in to three times the width of the root ball and twice as deep. Fill the hole halfway with a combination potting soil and compost mix (you can buy it by the bag - Miracle-Gro makes one but there are several brands available.
Set the root balls back in and fill around with the compost soil mix. Water well, and make sure they get enough water. Feed with azalea/rhododendron food, following the directions on the container. Don't use any more fertilizer if your soil includes fertilizer. If you use a potting soil that has a time-release fertilizer added right in, make sure you get one appropriate for acid loving plants (like azaleas).
There is nothing wrong with buying plants at Wal-Mart, Lowe;s, Home Depot, or the grocery store. They may take a little longer to get established than nursery plants, but most of the time, they do just fine and at a fraction of the cost. The main thing with blueberries is that they will only bear fruit if there are multiple plants of different varieties that can cross pollinate each other. If you bought two plants that are the same variety, you should get two more of two different varieties and plant them all in the same general area. Check to see if you can get some others at Wal-Mart. If not, try Home Depot. They have two different blueberry shrubs packaged together and that would probably work well for you.
Edited to Add: Based on your newly added information, I suspect that if the stems are orange, you might have a problem. I would snip a twig and see if the inside is green. If the inside is green, they need a bit more time. If the inside is brittle, dry, and tan, they are gone. But the good news is that you can replant. Just make sure to prepare the bed properly When you buy a plant, either from Wal-Mart or anywhere else, scratch the bark down low on one of the main stems - if it's green, it's alive.