We brought a Lexmark Pro205 and it comes up with a paper jam when we hadn't put any paper in, we had literly taken it out of the box, how do we solve this???

Ligned sponge located below the printhead. Should you have a paper jam and want to pull out the paper from inside the printer, there is a possibility that you will also pull out some parts of the sponge. The improperly placed sponge may then cause the paper to jam again.
Solution

If you realize that the sponge is not in its proper position, you will need to push it to the correct position (as seen on the images below). Then, when paper goes through the rollers, it will not be blocked by the sponge.


Properly placed sponge (Click for larger a view.) Improperly placed sponge (Click for a larger view.)