New Comp, 5 BSOD so far

I just bought a computer from Newegg and when it arrived I plugged it in and everything seemed fine. The next day after I had installed a few games on it I had a bluescreen while playing. The screen went black and distorted for a second right before it became a bluescreen.

I do not know much about comps, but I am wondering if this might be my vid card crapping out on me? This has happened 3-5 times already and I have not had this thing for a week yet.

I am wondering if maybe something is overclocked and not working properly, or overheating. Though I do not know how to determine this. I am using windows 7 and this is the computer I bought. I have changed nothing.

http://www.newegg.com/Product/Product.aspx?Item=N82E16883229244

I did some googling before I came here about bluescreens and found this and tried it:

1.
Open Action Center by clicking the Start button , clicking Control Panel, and then, under System and Security, clicking Review your computer's status.

2.
Click Maintenance.

3.
Under Check for solutions to problem reports, click Check for solutions. Windows will notify you if there are any solutions to problems available for your computer.

Upon doing this, I saw this :

Windows
Problem: Video hardware error
Files that help describe the problem:
WD-20110311-1534.dmp
sysdata.xml
WERInternalMetadata.xml
View a temporary copy of these files
Warning: If a virus or other security threat caused the problem, opening a copy of the files could harm your computer.


So I would like some advice on what to do instead of fumbling in the dark.
Any help would be much appreciated.

 

If you are getting a video hardware error, then I'm assuming your video card is bad. I would contact Newegg right away and arrange for a replacement system or video card.

 

Is there a way to be sure? Is there supposed to be a strong smell from the new hardware? Does this usually come from an overclocked gpu or one getting too hot?

I have never had an amd card before and I certainly do not know how to tell if it is running properly or overclocked. I would love to figure out whats going on before i contact newegg.