Dvd movie sound cuts out shuts receiver off. new onkyo receiver

Check the Coax cable, a bad cable can be cause for this, particularly if the unit is shutting down.Have the cable checked and replaced, le linet carries enough voltage to damage the machine.
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It sure dosent sound good!! The clicking sound you here are the protection relays to assist in protecting your speakers from blowing out. Your output devices are shorted it sounds like. Do not ever ever attemp to jump out those relays as it will burn out your speakers and possibly burn down your house!. Theres alot of current inthese amps for high power so if your not a tech and you think its worth it take the unit in to be looked at as there are no serviceable user parts inside these units . Sorry to have to tell ya this.. Good Luck

This means your receiver is protecting itself from overheating. If it has an internal fan it may not be operating, if it doesn't you may need to create enough space on top and below the unit to allow air to pass through it enough to cool it. Good luck!

When was the last time you cleaned it?

I had that happen and it was "DIRTY" .. Lens cleaner and I took the cover off and gave it a air compressor blow out.

Problem seems mismatch of speaker impedance with receiver. Check receiver specifications and hook up required impedance speakers, for example 8 ohms.
Due to over current flow in amplifier on high volume, protections activated and receiver goes to shut down.  

No This is Definately The reciever. Probably need to try and Locate an Authorized Service Center and get it Repaired or Get Another one.

Its possibly a protection mechanism, I suggest you try another receiver?

Try to reset your receiver.

Sounds like a thermal shut down issue.. basically one of the components is overheating