I view every day as a school day, especially when it comes to writing this page on new exhibitions opening in Scotland.

The art world is too vast to pretend to know everything, and I'm always looking and learning. And so, in the week in which video artist Elizabeth Price won the Turner Prize, I discovered that the term "non-diegetic" refers to imagery and sound that does not occur as part of the action. This probably accounts for why both bods in the Channel 4 studio discussion prior to Monday night's live announcement of the winner said of the video works (and I paraphrase): "You really have to be here to get it."

On first inspection, New York-based Trisha Baga's latest solo show, Holiday, which opens today at Dundee Contemporary Arts, fits into this category. Baga is not solely a video artist. There is an element of improvisation in the relationship between objects and video in her exhibitions, and this clearly matters to her when it comes to installing every artwork.

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I caught up with the artist, who currently has a show running at New York's prestigious Whitney Museum of American Art, as she headed out into Dundee in search of accessories in the city's pound stores.

"I usually bring objects from my studio to my exhibitions," the 27-year-old explains, "but obviously I couldn't do that for this exhibition. So now I'm about to go shopping in Dundee.

"I've already had a look around and it has occurred to me that pound stores and what we call dime stores are different. The rubbish here is different. It's made me think of the specificity of objects."

With this in mind, she begins to create a "chaotic" landscape formed of "luminous paint and 3D projectors, each projector showing a combination of personal and found footage". Objects from discount retailers, charity shops and Tayside Recyclers, including paintings, fake flowers and household goods, have now been stacked, painted over or projected on to create a series of immersive installations that fill the space.

Baga's trademark is weaving intricate narratives from snatches of everyday life and popular culture, often tracing religious and historic references. When I mention a hypnotic passage in her work Plymouth Rock (2012), in which we see seawater lapping against a camera that dips above and below the surface, she tells me she just took her camera for a sunset walk while in her native Venice in Florida and ended up with this squelchy footage. Little wavy digital squiggles have been added at the edit.

Holiday, inspired by the artist's abiding fascination for Madonna, is her first solo exhibition in a public gallery in the UK, following successful show at Vilma Gold Gallery in London and Kunstverein München. Plymouth Rock is the centrepiece of this exhibition – the installation considers the famous pilgrim landing site in Massachusetts through Chinese takeaway menus and a recital of a Justin Bieber Christmas song. The mixter-maxter soundtrack includes Gloria Estefan's Rhythm Is Gonna Get You, music from the film American Beauty, and occasional low, muttering voices interspersed with the splooshing and swooshing of water and the sound of mobile phone ringtones.

Baga was born in 1985, two years after Madonna had her hit single Holiday and, when we discuss this, she talks about how her interest in Madonna has moved on to an abstract level. "Recently I heard something from her new album," she explains, "then I realised it was coming from a cellphone. I'm interested in the act of looking in between the thing you are looking at or listening to."

Baga has become known for idiosyncratic storytelling that celebrates and resists contemporary culture's love affair with broadcast technology. She throws in snatches of digital trickery, but there is still a 1950s, slightly skewed, cookie feel to some of the work, especially when she wanders around tourists on a trip to the Statue of Liberty, for example, wearing a pair of bizarre boggly comedy glasses.

Baga's work worms its way into the spaces between what Chilean poet Pablo Neruda called "the shadow and the soul". In the ether, it grows on you. In the flesh, I could get to like it...

Trisha Baga: Holiday is at DCA, Dundee (01382 909900, www.dca.org.uk) until January 27