It sounds like you're suffering from two separate problems.
Clearly your video card sounds like it's DVI/VGA connector or the associated circuitry is faulty. Don't fuss around with it, immediately send/bring it back for a refund or exchange. Would you keep a brand new car if you had to keep the windshield in place with duct tape?
As to your unusual CPU usage I am inclined to think it is software, not hardware related. There might be some residual files or registry entries left over from your ATI drivers which are causing the video playback issues. There is an excellent freeware app called 'Drivercleaner' which totally cleanses your system of unwanted driver files. You may also want to consider reinstalling DX9c as well as downloading the latest video related chipset drivers for your motherboard.
Anyway try using the Drivercleaner method first...
http://www.drivercleaner.net/index.php
Wow, Drivercleaner is no longer free?!? Oh well. It's only $10 though. You may want to do a Google search for freeware alternatives, I'm sure someone out there came up with a similar solution.
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