Hmm, that is odd.
Returning it would probably your last resort. First, try doing an Apple Hardware Test, by inserting your first OS X disk, restarting, and holding down the D key when you hear the chime. If it shows a hardware problem, you need to return it, for a new one.
If not, then maybe try repairing permisions, (although this may not help because it is brand new), or maybe just try doing an erase and install of OS X.
Either way, good luck! 😀