Grey screen + you must restart your computer!

that called a kernel panic.

although one would expect a new Mac to perform out-of-the-box, you might want to try troubleshooting the issue before making an appointment @ the Genius bar or your AASP.

check out this article: Resolving Kernel Panics.

from the horse's mouth: Mac OS X: How to log a kernel panic

and, for OS X 10.6 specifically, see this support article: If “You need to restart your computer” appears

additionally:

What is a kernel panic

Technical Note TN2063: Understanding and Debugging Kernel Panics

Mac OS X Kernel Panic FAQ

Tutorial: Avoiding and eliminating Kernel panics

 

I had the same problem with my 21" Imac it would give me the same screen etc under light loads. After going to the Mac Store 3 times and having My mac in for 3 days. It was discovered that the Gray screen and restart was due to a Bad RAM Dimm. You may want to test your ram it could be as simple as this. Or it may be more, but replacing the DIMM resolved my issue I have been using the computer for over a year no other problems.

 

This is why I love Macrumors. I you. You're my hero.

 

a) I'm sure they will try to help you. But it's not necessarily a problem with the MBP itself - you should try to isolate the error if possible, e.g. disconnect one or more attached devices and see if the problem still appears.

b) That depends on how recently you bought it. For two weeks you can return it for a refund. After that, I wouldn't expect a refund. However you should try... sometimes you can find a nice store manager that is willing to help you out.