Let's play a little "Captain Obvious", first...
Are the switches on the PSU and the surge protector switched on?
Is the CPU power connector plugged into the motherboard?
Is the CPU heatsink fan connected to the motherboard?
Are the RAM sticks and graphics card properly seated in their slots?
Are the graphics card's extra power connectors installed?
Is your monitor plugged in and your motherboard speaker installed?
Now, the less obvious:
Is your PSU powerful enough?
Is there thermal solution between the CPU and heatsink?