You bought an window ac and put in the wall not seeming to cool very well Sears told you because you should have purchased a through the wall not a window sounds incorrect?

Even though it is a new one, the air conditioner unit could be faulty: maybe there is no refrigerant gas or maybe the compressor pump is not working?

If it is still under warranty you should be able to get a free replacement unit if it is faulty.

The best advice anyone can give is to call a licensed Heating, Ventilation and Air Conditioning (HVAC) technician to advise you if the unit is faulty or if the problem you have is because it has not been installed correctly.