Where was the machine purchased? If from Walmart or Costco, you may be able to return it. If from a dealer, the dealer should be able to show you how to adjust the machine.
The reviews for this machine are pretty good:
http://www.amazon.com/Brother-XR1355...dp/B00FMYYGA4/
My best guess is that there is something minor wrong -- needle not inserted correctly, tension not set correctly, or.......
Do you have any family or friends who sew? Someone with some experience may be able to help you out.