Is the rocker switch on the Power Supply in the on position?
Another possibility is that the motherboard is shorted to the case. This can be through a misplaced standoff, or commonly, that an EMI spring on the I/O shield is sticking inside one of the ports instead of laying on top of it. This is easy to do and something I always double check on a new build.
I have gotten into the habit of starting up systems outside of the case first on new builds. You can start it up by momentarily shorting across the two pins for the case power button connector.
Also, another good troubleshooting step is to start the system with just the procesor (and cooling device), ram and video card. Just one stick of ram is good way to go also if you will be running multiple sticks. This is all the system needs to make sure the board will power up. Your motherboard has multiple connections for power. Make sure they are ALL plugged in. Same with your video card. It MAY have a power connector on it.
I have to ask .......... is this your first build?
And .......... at this point, you really should tell us what components are going into the system. Especially the Power Supply. Don't need links necessarily.