I just finished a spinning class and another woman in the class had a babe. The tension adjustment is a cable/cord thing that goes up over the bobbin and is then velcroed to the frame part of the wheel. From what I understand, it's a little touchy, so even a very small adjustment can make a big difference.
If you're unsure that the wheel is put together properly, take it up to Myer's House Weaving Department in Florissant (that is where I took the spinning class). I'm sure Nancy or someone else there would be able to help you figure out the wheel.
ETA: According to the information here, maybe you need to loosen the brake?
As the yarn is spun, it is loaded onto the bobbin by the brake tension and pull on the spun yarn, which slows down the flyer so the bobbin spins faster and it pulls the yarn onto itself until the tension is pulled back and the flyer resumes revolving. The machine does not work like scotch tension. You can spin without the brake being on and the bobbin will pull the yarn in. The leather brake helps to keep the flyer in place and when you need some extra pull in. If you pull the brake too tight the bobbin and flyer becomes like a single unit and all it does is twist the yarn. Start with brake loose and tighten a little at time until it pulls in like you want.
Also, assembly instructions are online here
Hope this helps! I can only imagine how frustrating it would be to have a brand new wheel and not be able to do anything with it!