Cassette woe, help please

Sounds like the OP may have bought a set of those Shimano wheels with the deep spline from about 10 years ago. Sheldon Brown talks about them here:

"Dura-Ace 7800 and 7801 10-speed hubs (and Ultegra wheelsets) with the aluminum Freehub body and tall splines only accept Dura-Ace 10-speed cassettes." (http://sheldonbrown.com/k7.html)

I've never seen a cassette that fits them, but then, I've not been looking.

What are the wheels?

As canamsteve says, current freehub bodies are pretty much Campag fit or Shimano/SRAM fit. A good few years ago, Shimano did bugger about a bit, but AFAIK if your wheels are actually new, any current cassette (in the compatible manufacturers standard) should fit.

AFAIK, there are two types of (current, modern) freehubs - SRAM/Shimano-fit and Campy-fit. If you have purchased "new" then I would assume it is the current 10/11 speed freehub.

Campy cassettes (and a few others, Miche specifically) fit on Campy freehubs. SRAM and Shimano cassettes interchange on SRAM or Shimano freehubs. You can't use Campy cassettes on SRAM/Shimano or vice versa.

12/30 cassettes are common from Shimano Tiagra to Ultegra. With Campy more common is 12/29 as the RD will only handle 29T. Shimano specs 30T for their GS RDs, but you can go to 32T no problem (with the correct chain length!)