The car drove fine from the lot to close by my.

1993 Mercury Grand Marquis, Start and shut right down well this narrow it down, The EGR can do this but it will rough idle the vehicle and in some condition stall the vehicle right away. Now when it shut down did it shut down when you step on the gas pedal? You did not run out of fuel? Cycle the key you should be able to hear the fuel pump, if you don't you will have to get a fuel pressure tested. Or better yet check the fuse for the fuel pump, in the engine junction fuse box. Ford doesn't list the fuse you need to look through the owner manual