Question Of The Day - Going in for an interview

So here's the situation: I am a recent graduate (May 2012) and just recently took a job with a less prominent investment company, pay is very blah, company is mixed, etc. Prior to starting the job, I had a phone screening with a BB firm. I didn't think that they would call me back, but they did and wanted to set up an interview. I am a few weeks in to my new position, do I tell the BB firm people that I've just recently started in a position, or say nothing at all???

Note that I am in fact going in for the interview

I don't want to be caught in a lie come background check, etc..but also don't want to seem like someone who will jump ship at any given time.

Please advise!!

Thanks