I had the Market Application on the Apps menu - front and centre.
Forgive me if I'm telling you something you already know but the Home page (the one with the clock and the Timescape/media scape buttons) is only a customisable front end to the Android system.
you can add and remove widgets to the Home screen (Press and hold), there are three screens you can move to and fill with widgets (Swipe left or right to move).
At the bottom of the screen is a stripey bar. Swipe that bar upwards to reveal the Apps menu. This is scrollable and I found the Android Market icon (labelled Market and looks like a shopping bag) just off the initial view.
I find it very strange you don't have access to the Market using the Market app. Just for that, I'd take the phone back and demand another one.