I'm sure others will elaborate but here goes!
Let him to his own to explore and get accustomed to his new home. It's a frightening time for them and if pushed or forced to have contact before they're ready, they will likely bite.. He may just want to stay in his cage for a while instead of venturing out, leave the door open when you're with him and try to coax him out. We had luck bolting a perch to the main door and he'd get on that and we'd just swing it slowly open!
Sit close and talk softly to him and move slowly around him. You can hand feed him small treats of pine nuts, warm oatmeal or warmed yams. It could take a while (weeks or more) for them to be comfortable in a new environment and develop enough trust to be a family member.. If there are others in the house, have them do the same.
I'm assuming you've got a decent size cage and some toys for him to play with? Search around the forum and you'll find some great information about the first few weeks.
