They can't make you provide the shrink wrapping back before they exchange this. That is completely unreasonable - they are trying to get rid of you.

Where did you buy it from ? I'd speak to them again if I were you, and ask to speak to the manager if you don't get anywhere with salesman sam, and if you don't get anywhere with her/him, ask for a contact for complaints, along with a written and signed note from her/him/it/they/etc (did I miss any?)... explaining the reason why they won't exchange these faulty goods they sold you (make sure they sign it though).

A few times when I've asked people to put this in writing they have, er, been able to "bend the rules" a bit after looking a bit alarmed first. This really depends if it is a chain of stores with any formal procedures where the dude in the shop doesn't want the grief. If its a little market corner jobby, you may have a bit more of a problem.