I guess you mean you bought a Time Capsule (the white device)? "Time Machine" is the name of the program that backs up and it comes free with OS X.
Where do you see the yellow triangle? In the System Preferences->Time Machine->Select Disk window?
I can't imagine that it's really a version issue -- I've got an older Time Capsule and it works fine with OS X 10.6.8.
If you can edit your post's title (though I'm not sure if you can) you would get more help because people would know the question is about Time Capsule.
Regards,
Brian33