You'll need to contact them, and perhaps have a more sympathy generating story than you found a better deal.
If you signed a finance deal, there should be a cooling off period involved that will let you off the hook.
They are entitled to force you to honour the contract, that is after all the purpose of contracts, to protect both parties from the other changing their mind. You will likely at the least lose the deposit.
Car sales are up, and this is a busy time, so the dealer may have other interested buyers lined up and be more willing to let you off the hook as a gesture of good will.