|Do you have all the power connectors connected to the motherboard?|
Modern boards have 20/24 pin main power header and additional 4 pin 12v header. Failure to correctly attach the 12v header can cause the symptoms described.
Also, if you have a haw spec graphics card they can require their own 4 pin molex connector draining power from the PSU.
As the previous poster suggested, I'd take it back. Your PSU could be faulty. The supplier will be able to test it with a multi meter.
IT Services Manager