When I apply the front brake of my bike it feels like the connection between the fork and the frame is loose and there is a one time movement. It happens every time I brake. The bike is new but it was bought in a sale and so it might be that it was not fully assembled... Thanks!
There are a number of things that could contribute to such a feeling.
You don't mention the type of brakes you have, but disc brakes can contribute to such a feeling since there is some flex between the breaking point (the disc/caliper) and the contact point (the patch of tire touching the ground). If you have a "flexy" wheelset, this may be something to get used to. If the brakes are not adjusted properly or are loose, it's possible your disc caliper is moving as well.
Your headset could also be loose, meaning the steertube is moving around inside the frame and should not be. A headset adjustment may fix this problem, if none of the components are damaged.
Finally, if you have a suspension fork, it's possible you are misinterpreting some suspension compression as an issue (it isn't). However, it's also possible (with a suspension fork) that the upper and lower are poor fitting and you are experiencing movement that you shouldn't.
Without more information and specifics, your question won't have a firm answer.
Lock the front brake and put the other hand on the bottom of the headset and fork. Rock the bike back and forth and see if there is play. If so tighten the headset. Riding with play can harm the headset (in the extreme the frame).