Assuming you have already checked all connections & made sure the board isn't being shorted out anywhere, it sounds like either the motherboards BIOS isn't recognizing the cpu or your motherboard is defective.
Try going to Gigabyte's website & check to make sure the BIOS on your board is compatible with the cpu you have installed (BIOS version should be on a sticker on the ROM chip) ... if its not compatible, you'll need to take the board to a local PC shop & get the BIOS flashed, or contact Gigabyte & have them send you a pre-flashed chip.
If it is compatible then most likely the motherboard is defective & will need to be RMA'ed.