What are the pads rubbing on?
If you haven't adjusted the caliper yet, you'll want to look at the brake sets' instructions for setup and adjustment and perform those first.
If that's happening even with the best adjustment of the caliper, you'll have to add spacer(s) somewhere to fix it.
Which spacers to use and where to add them depends on which side it's rubbing on, so rather than very short replies, you should tell us with as much detail as possible exactly what is happening, preferably with attached pictures to show what you are talking about.