Give it a bit more time. Where it came from it probably had many tank mates so it will take a while to adjust to its new environment. If you're new to goldfish, make sure you don't place the tank in full sunlight; the water may get too warm and you'll have a tank full of algea in no time.
Its just shy like wildwood said Jimmy. I have fish, and sometimes the new ones will be fine within an hour or so, and go and make friends with the others, and sometimes it can take a week or more.
It might be an idea, following on from wildwoods sunlight comment, to switch the light off, if your tank has one. Fish relax in the dark. Like we all do I suppose! ;o)