Your new safe should have come with a user's manual that includes the combination. If the safe is made by Sentry, there is usually a badge-shaped sticker near the upper door hinge that includes the model number (shorter number) and serial number, but the combination should not be anywhere on the outside of the safe. This, of course, is dependent on the make and model of the safe.
When you get a new safe, the combination should either be in the manual that comes with it, as I mentioned, or with other paperwork that came with the safe. You shouldn't have to set the combination yourself, unless you want to change the factory-set combination and your safe permits this; you would still need to have the original combination.
If your safe does not contain these items (manual/paperwork) and no combination, please let me know the manufacturer of your safe and the model number and I will try to help you further.
Please do not rate at this time, unless you found the combination where I predicted it would be. Otherwise, just Reply to me and I will continue to assist you. Thank you!