It should be a volume reseller version of Windows that self-activates. So, something seems a bit suspicious here and I would contact the seller about it. You can also call Microsoft's activation call center and explain that this is a brand name OEM system and it's asking you to activate the copy of Windows. I'm assuming the activation fails if you attempt it and that's why you're posting here.
Just be sure to be meticulous in your documentation in every step you take to get this resolved. Hopefully it will be quick and painless, but all too often this is the prelude to a long and arduous journey that doesn't have a happy ending. So keep very detailed records in case it becomes necessary to take legal action.
Of course if you're still within any kind of no questions asked return period, I'd probably try that first. Either exchange it for another like-unit or just get your money back.