[Troubleshooting] Smoking VGA

I was about 5 minutes into skyrim on my new system, and then my system shut down and my 6870 started smoking. Everything else works fine, and i am currently using integrated graphics, but when the VGA is plugged in the system starts for one second, then shuts down, and I get smoke. So basically, how screwed am I?

Edit:

• Card died Running Skyrim

• Card was purchased about 35 days ago

• Brand new build

• Card is a power color radeon 6870

Based on the above information, what is my chance of getting a refund or replacement card.

Edit2: When the card is plugged into the MOBO PCI alone the system runs fine and the card's fan also runs, but once the power connectors go in the system won't work and the smoke comes.