If it's brand new and you got it retail, I'd return it to the store. It certainly ought to play the included media. Although they are carefully chosen to show off the device; the provided player will not play certain MPEG and WMV media, and has trouble keeping up with larger formats.
Everything worked for me out-of-the-box, except that "Skype" was just a "download it now" link that said I had to upgrade the OS. Ditto Gizmo, but that worked.