I'm hoping Guitar Center sold it to you at a discount price if it is new but doesn't have a box or manual.....
If it is new but is faulty I think they should sort out fixing it. However, I guess this is one of those situations where you just want the thing to work properly rather than argue about whose responsibility it is.
If it is as simple a process as other people have been saying, see if any friends or family know about PC hardware installation who could have a look for you.