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As Pat says,there is a corrosion inhibitor put on to the discs when they are new and this should be removed before you fit them.
It certaintly sounds like this is causing your problem.It will burn off in time,but it will effect the braking efficiency and ultimately mean that you'll need new pads again.
Currently in Lagdti's garage:
2004 Saab 9-5 HOT Aero and a 2001 Audi A3 1.8 Turbo