The orange light being on is good. That means your motherboard is getting power from the Power Supply Unit. When you press the power button on your case the Green light should come on, not the red one. The red light should be connected to the reset button and should only come on when you press the reset button. If its coming on when you press the power button, then the only reason i can think of that this would happen is that the connections are not correct. Double check your connections especially the Power on switch header. It should be connected to pins 8 and 9 on row Pn1 of your motherboard as described on pg 2-13 and 2-14 of your manual. The colored wire of the connector should go in pin 8 and the white or black wire should go in pin 9. Or in another way of saying it, the colored wire should be on the right, and the white or black on the left. Make sure that is plugged in correctly and firmly seated. Try to power up again. Now, the green light should come on on your motherboard when you press the power on button on your case. If it should not come on go back and try reversing the connection so that the colored wire is on the left or plugged into pin 9 and try to power on again. Again, you will be able to tell if it works by the green light on your motherboard coming on. All of this is on pg 2-13 and 2-14 of your manual, but ive explained it in more detail.
FYI: You count the pins on the row of pins named Pn1 on your motherboard from right to left. You can see that only Pin 1 is labeled in your manual in figure 2-9 on pg 2-13. First pin on right is Pin 1. Count over from there.
If nothing is wrong with your hardware, which i doubt there is, then i am 90% sure your problem lies with this switch or row of connections.