Start with the basics...
With the power plugged in to the wall and switched on, plug the power into the computer, does the PSU make a quick crackling noise? If so, power's working.
Check the BIOS jumper is in the correct position. If shorting the wrong pins it can cause this.
Check and double-check all the wires are plugged into the correct locations, especially the led headers and the one for the power. You can actually take all the led headers out and short the two 'power' pins with a screwdriver to mimic the power button.
Take out all the non-essential components so you're left with CPU, Mem and Video. Try now. Obviously add them back one-by-one while it works. Silly things like IDE or FDD cables plugged in backwards can cause this. As a rough guide to these cables, the red stripe is pin 1, and pin 1 is usually nearest the power connector of the device (although modern cables should only fit one way).
Hope you manage to get it working,
Steve
