Why do I keep getting "Paper not loaded correctly" message?

My brand new Epson Stylus Photo R300 printer keeps stopping part way through a print, aborting with the message "paper not loaded correctly."

I am trying to print photos on A4 paper. The image is sized to cover most of the A4 sheet.

I've tried different papers and different images. Occasionally one will print correctly, but most of the time the print fails. (Tried approx 10 times, have two correct prints.)

Letters and other prints on small paper seem to work okay.

Is there some set up I should have done/need to do, or is it likely to be a faulty unit?