I have a co-worker who has decided to leave my company after only about two months on the job. I can actually empathize a lot because there were times I wanted to leave in the past few months due to mounting frustrations with a few things at my company.
It raises an interesting question, should you leave a job early on if you feel unhappy in the first few weeks or months. There are two sides of this argument.
On the one hand, you don't want to make a premature decision. A new job can be difficult and deciding to leave a job too soon may be a rash decision. Normally, there is an adjustment period, and you should allow yourself to figure out how to work in the new environment.
On the other hand, the first few weeks you should be the most excited about your job. You are learning new things and you hopefully escaped the reasons that may have caused you to leave your last job. If you are miserable the first few weeks on the job, is there really hope things will get better when normally they just get worse?
I obviously made the decision to stay, and for me I think it was the right decision. I definitely hit some friction, but I gave it some time and now I am starting to hit my stride. No doubt, many of the problems I faced are still there. I ironically have the exact opposite of what I had at Microsoft and what caused me to leave there. The grass isn't always greener on the other side though and I have found that extremes are bad no matter how you slice it.
However, I can't blame my co-worker for leaving. After all, the "penalty" you pay for leaving a job you just started is probably pretty low. Chances are you haven't even adjusted your lifestyle to match your new job. You probably haven't moved if your job was relatively close by or you haven't made a switch like your spouse getting a new job. You don't even have to put this short stint on your resume so the "gap" in your resume will likely be non-existent.