Jason,
Ground yourself, then unplug the power cable from the back of the system. Open it up and unplug the 24-pin connector. Take a small jumper and on the wire side of the plug (so that you don't distort the pin opening), connect one of the commons (black) to the PS ON wire (green). If you power supply is good, when you plug the power cord back in and flip the switch on the back this will activate the power supply and its fan will run.
If this is OK, then remove the jumper, unplug from the back, wait 15 seconds and plug it back into the motherboard. Plug in the power cord and flip the switch on the back to the ON position.
On most motherboards, there is an LED whose purpose is to remind you that even though the computer may seem to be off, it still has juice to the motherboard and you shouldn't play in there until you remove the power source <G>. At this point, it should be glowing to confirm that the motherboard has power. If it is off, then the motherboard is bad OR you have it installed in such a way as to be causing it to be shorted out.
If this is OK, then recheck your tristed pairs of wires from the front usually four pairs) and make sure they are plugged in correctly. Power and Reset are not directional, they just have to be plugged into the correct pins. If the Power wires are switched with the Power LED wires, for example, the first two tests would be OK, but this one little thing would keep it from starting. The Power LED and HDD LED wires ARE directional. The white is "-" and the colored wire is "+". If either of these are plugged in backwards, it will not keep it from booting, but is will keep that LED from working.
If all this is correct, then considering that this is a new build, and not one that has been operating, take the motherboard out and remove the CPU and the Memory. Place it on the antistatic bag it was shipped in and plug in the two power cables and the the twisted pair labeled Power.
Plug in and turn on the power supply and press the ON button and you should get beeps because nothing is installed. If no beeps . . . the motherboard is bad. If you get beeps, then install the CPU and its cooler/fan assembly and make sure you plug in the CPU fan to the motherboard.
You remembered to remove the power source before you did this . . . right? OK, power in and try to turn it on and it should give a single beep because it still doesn't see any memory. No beeps at this point usually means that the CPU is defective.
If you did get a single beep, power out, add one stick of memory, power back in, and try to turn it on. Power Supply fan and CPU fan should be on and stay on.
If so, and you have an onboard video system you can plug the monitor in live, turn it on, and you should see the POST screen and at this point it would be stopped with the error that it can't find a bootable device. (If you are using a plug-in video card, power out, plug it in, attach the monitor to it and power in and turn on.)
If you have video, then power out, plug in one HDD and power in . . . turn on and you should see the HDD being recognized as it runs the POST and you will have the same error because it is blank. Plug in one CD drive and try again . . . results should be the same.
If you have gotten this far, you have fairly well validated all your main modules and you can then reinstall the motherboard, making sure you have all the appropriate standoffs in place. Your CPU and memory are still in the motherboard, so all you will want to plug in is the front wires, the power cables, the one HDD and the one CD drive. If you didn't short out the board in the install process, you should now be able to put the install disk in the drive and attempt a boot.
If you made it this far, then the suspition would be that you somehow had the motherboard shorted out on the first attempt, but now it is in there correctly. HOWEVER, just to be safe, go ahead and do the operating system install. Any additional cards or drives can be added one at a time (make sure to power out before going back in each time), and allowed to be recognized by the operating system ONE AT A TIME. Too many new devices added on the same reboot will cause a problem with the newly installed operating system, and in any case we need to test them individually.
A shorted out modem, for example, would give the exact symptoms you report, but it is unlikely in a new system with all new parts, so you don't want to start here.
Let us know the results.