This could signal a defective Hard Disk or a power cable problem. Check your power cables, if they are fine, then consider returning the drive to the shop and check the warranty.
When you say "new" do you mean new to you or production new? If it's an older drive (but new in your computer) it could be dying like was mentioned already and you might want to look into finding some utilities for it. If you give the model of the drive we could point you in the right direction and see if there are any issues with it.
Make sure that all the screws that hold the drive in the bay are tight, sometimes if they are loose, the vibration of the drive when it spins caises the clicking noise.