If you held flame to it for 2 mins, and it didnt burn white-hot, then it's not magnesium. My guess is like RescueMike's aluminium (aluminum).
More precisely "cast aluminum" which will mimic some of the properties of magnesium.
In pyrotechnics aluminum dust can help make for huge flames, sparkles and bigger booms. Aluminum ignites at a higher temp than magnesium, so, sometimes they will combine the two elements, the magnesium burns hot enough to kick off the aluminum reaction. Usually an oxidizer accompanies them.
So, perhaps they got mixed up, as most of the mail-order folks are dealing several types of these metals, and numerous textures.
Contact them, let them know something doesn't seem right.
A file is a good way to make small particles, sandpaper to make fine dust.
A rasp to make small gravel like peices. A hacksaw blade makes finer pieces than rasp.
I do NOT believe you have magnesium there. But, for a good test, use a fine file, and make some "dust" in a ring about the size of a nickel on a small peice of newspaper. Try to ignite it with a match by lighting the paper.
The magnesium should catch and burn fast and hot.
I bought a hunk of magnesium, and made some fero-rod/mag kits.
I cut the chunk with a metal cutting bandsaw, and got a lot of shavings in the process.
The shavings don't take flint spark really well, but add a little fine mag dust, and POOF! you get a mini-arc welder.
VISION SAFETY NOTE: Magnesium burns at something like 5400°.
It is VERY bright. It is akin to watching an arc welder.
Prolonged viewing of Magnesium burning can hurt your eyes.
The very small amounts we discuss, such as igniting tinder isn't a big deal, but should anyone get industrious, and want to burn some chunks, for fun, you are watching an arc welder and harming your vision.
I've read about people burning Magnesium auto parts, wheels, and even engine blocks, you need a welding mask for that and protective clothing. When dealing with sutff that large, it can give you 2nd degree skin burns from 20 or 30 feet away, just like arc welding.
BEWARE.