from my system building experience, i think you fried your processor. it doesnt matter what heatsink you have, if you mounted it improperly it wouldnt adequately cool your cpu. if the new athlon thunderbirds run for more that 12 seconds without a heatsink, they usually destroy themselves. if this describes your problem, this may be the problem.
first thing to do: test your processor in a working system. if it works, be very glad it does and move on to step two.
2) unseat every card (which you already did), remove the motherboard from the case (to make sure you havent grounded the motherboard, unplug everything.
3) reassemble outside the case (on NONMETAL surface like a book) with just mboard, cpu, memory, power supply, and atx case switch (usually come out of the case). you shouldnt need video card at this step (youll be listening for the beeps). if u dont have the momentary switch from the case just short the two power pins to start it.
4) your motherboard should have a power led on the board? mine does but most dont. if it doesnt just power it on and hope u hear the a series of beeps.
if this doesnt work, try replacing components until u find the problem (which is hard if u dont have many components). first make sure you are actually connecting the two pins that are the power pins (u should just short them for about 1/2 a second, then release and allow the circuit to be OPEN. when the power headers are CLOSED it starts the power supply, when they are closed permanently thats BAD. start at your processor, i think this is most likely. then try replacing memory with some know good memory, try using a know good power supply,then trying plugging everything into a different motherboard,
if all this fails (or u dont have access to any components), its time to return to your place of purchase. if this was your first system build, i hope you bought local cause its hard otherwise. most mom&pop shops will be helpful but they arent always.
im sorry uve had such bad luck with your first system build, maybe you can find a knowledgeable friend to help u out with this completion.
if youve destroyed something, dont get upset, i destroyed a motherboard and a processor my first system build, and never completely finished it. the shop i bought it at rebuilt it for me. but the next time i got it right.
good luck