Not sure which monitor you have, but I have read a review about the Lenovo ThinkVision L220x which had the same issues you were describing. No amount of adjustments were able to get rid of the "shadowing". The replacement L220x had no such issues. In the end it was determined the first L220x was defective.
Exchange it for another if you can. I you bought it from an actual walk-in store, then ask the sales person to hook it up so that you can look at it before walking out the store.
I was amazed at the clarity when I got my first LCD. Take it back dude.
I deal with loads of different LCD's (IT manager), some types of LCD which may be blurry when you first plug then in only need a little adjustment to improve a lot. Some types have an auto adjust function which you need to run once to get the picture looking right. Its not necesarily the case that just because its blurry now means the units no good.
I do not have a DVI cable, but can buy one if it would fix the issue. I have tried the auto settings, and have tried experimenting with the settings manually. So far nothing has made a difference.
I would almost swear that when I first plugged it in it looked better. The next day when I started the PC the resolution had changed. I re-set it to 1920X1200, and ever since then have noticed this problem.
I got the monitor from Sams Club (a floor display model), so I can take it back. They do not have any of their monitors connected. I did not get the software CD that would usually come with the monitor, so did not load any special drivers.
What would you recommend as my next step? Return it?