Has it been calibrated? You need to specify in the firmware how many steps it takes to move a millimeter for all 3 axes. Plus, it sounds like you might have a homing issue. Do you have endstops on at least your Z axis, and are you doing a home at the start of your G Code.
These things are NOT turn-key devices. You can't just plug one in and expect it to print. It has to be configured just right and, at least for the short term, you will be tweaking your settings a lot. Sounds like you need to learn a lot about how these things operate. When I was getting started, I found
nophead's blog to be very useful. Also
richrap's blog. Start with these, and of course the wiki here is filled with a lot of good information.
