i have 3 comments...
1) usually you want that led on, i think it means that the ram is installed...however, it should say in the motherboard manual exactly what that led means
2) as a general rule you should give more details about your system components when you ask a question like this. do you have a monitor attached? does anything happen when you power up the computer? even with no drives attached, as long as you have a video card and ram installed it should at least post and allow you to access the bios
3) based on this question and your previous question (about installing the hard drive), it sounds like you should find a friend with computer building experience. i will help as much as possible (as will other members i'm sure) but it is hard to walk you through all possible problems/solutions if you have no experience building a computer