I locked myself out on my brand new ipad as I was setting it up. I screwed up the password I set but now its says to connect to itunes.

Would this be your iPad Passcode, or your AppleID Password?

If your iPad is disabled, or you have forgotten your iPad passcode, you’ll need to follow this process:

If you’ve forgotten the passcode on your iPad, or your iPad is disabled – Apple Support

You’ll need access to either a PC (with iTunes installed) or a Mac (with iTunes or Finder - as appropriate for the installed version of MacOS).

Download and use iTunes for Windows – Apple Support

Update to the latest version of iTunes – Apple Support

You may also need your AppleID and associated password. If these have also been forgotten, they can be recovered here:

https://iforgot.apple.com

To recover your credentials, you’ll need access to one of the following:

• Your primary email address mailbox that corresponds with your AppleID
• Any of the secondary/recovery email addresses that should be configured for your AppleID account
• Any of the trusted telephone numbers (fixed line or Cellular/Mobile) that are associated with your AppleID

Unless you AppleID account has not been fully/correctly configured, or has been seriously neglected, recovery of the AppleID and password should not be difficult.

More information about recovery of your AppleID:

If you forgot your Apple ID - Apple Support

More information about recovery of your AppleID password:

If you forgot your Apple ID password - Apple Support

When you recover access to your credentials, you would be well advised to log-in to your AppleID account from a web browser - and verify/update any email addresses and trusted telephone numbers:

https://appleid.apple.com

You will need to restore the iPad using a computer. The process will erase the device. Instructions here...

If you forgot the passcode on your iPad, or your iPad is disabled - Apple Support