Before you try any kind of treatment, you will need to know what exactly you are dealing with. Rats can get both lice and mites. The different types of mites are: (1) fur; (2) burrowing; and (3) bloodsucking. The burrowing mites cannot be seen with the naked eye. If you suspect these, you will have to get a skin scraping. Since you "saw" the bugs, it is doubtful they are the burrowing mites. The life cycle of the bugs is what will help you decide how to get rid of them. There are different stages in the bug's life, and you must strike at specific times. I have found a link that provides information on determining the type of bug, and how to best treat it. The link is as follows:
http://www.rmca.org/Articles/bugs.htm
You will need to disinfect the cage weekly. Bleach works well, but rinse, rinse and rinse again. Make sure you remove all traces of the bleach from the rat home. Throw out all wooden products, as the bugs can lay their eggs in them.
I am sorry you have encountered problems already. You should be spending your time getting acquainted with your rat; not treating him for bugs.
I agree with those that said the store is to blame. The rat came home with the bugs, and they should be held accountable. Call the store to see if they have a vet on duty. They need to treat any remaining rats in their possession for the bugs, too. If they do not have a vet who can immediately see your little one, tell them you are taking your rat in to your own vet, and you will send them a copy of the bill for reimbursement. The type of vet you need is an exotic vet. (That just means a vet who treats rats, mice, hamsters and other small animals.)
Good luck with your rat. I know this is not what you had in mind when you brought him home yesterday, but once the bugs are gone, you wil have plenty of time to enjoy him. Rats are clever animals, and bring a lot of joy to their rat parents.