here's a rough guide of the hard core way to troubleshoot something like this...
* start with the motherboard out of the case, lying on some non-conductive surface because if it's in contact with any metal, it could be shorting out (that's why it's mounted on metal bracket things with plastic washers)...
* make sure the 24 pin connector from the PSU as well as the 4 pin connector are plugged into the mobo
* have NOTHING (no HD, no RAM, no video card, no sound card, nothing) else hooked up except for the CPU and HSF (make sure it's plugged in)
* reset the CMOS battery; see your manual for instructions - on some mobos, it's just a small button next to the CMOS battery, on others a jumper, on others you just pull the battery out for a few minutes and put it back in
* try to boot... with the system speaker hooked up, you should get a beep code for either missing RAM or missing video (read about the beep codes in the mobo manual)... if not, either the mobo, CPU or the PSU are at fault... if you can try the PSU out in another computer, you can more or less eliminate it as the problem. as for the CPU/mobo, unless you have an extra CPU/mobo to test with, it's often hard to tell which.
* otherwise, if you do get the proper beep code, try adding RAM. if the RAM came in two sticks, make sure to try one at a time... you should just get the beep code for missing video now... if not, the RAM is at fault... note that if you had two sticks, one might work and the other not...
* if it all still worked up to this point, add the video card... if it has a PCI-E power connector (from the PSU) make sure it's plugged in. you should either see something on the monitor or get a beep code for busted video... if neither happens, you can assume either the CPU, mobo are faulty...
good luck...