I don't know anything about salt water fish, but usually there is an underlying cause for a fish not eating. It might just be settling in to it's environment still, or there might be something wrong with it's environment.
Just a couple of questions which might make it easier for others to help you.
Has he eaten at all since you've had him?
Did he accept frozen/dead food in the lfs? He might only eat live food.
How long has your tank been set up for?
Do you have any other fish in the tank with him?
Have you got live rock in the tank, or is it fish only?
Has the tank had time to cycle if you aren't using live rock?
What size tank is he in?
What are your water stats?
Puffers in general do take a little while to settle down in tanks as they stress out easily. A lot of puffers also aren't used to 'dead' food and will take a while to accept frozen food. They are however very sensitive and require a well cycled tank and good water stats. Raised ammonia levels can cause them to go off their food, and if the tank is newly set up it's likely there will be a raise in this now you've added fish.