And if I remember right you have to have all the paperwork at the border crossing of your choice for 72 hours before you can leave with it..
Buying out of country, you shouldn't get charged any Cdn taxes, but I'm fairly certain they'll need your money transfer etc to come from your US bank, so they "know" it's not going to a Cdn destination.
But pretty sure Teth-Air is right, don't think you can buy new and take it across, the dealer isn't supposed to sell new out of country.