Take the MB back out and check to see if you added any standoffs that shouldn't be there. One may be shorting the back of the board. Then while it is out test it in breadboard fashion:
Put the MB on an insulated surface like the box it arrived in. Connect just the CPU/cooler, 1 stick memory in 1st DIMM slot as reqyuired sometimes by the manual for using 1 stick, PSU, KB, and if available; the on-board video to monitor. Start the system by momentarily shorting the 2 pins on the MB FP header that the case's start button wires would plug normally into. You should get a display and be able to boot to BIOS by tapping DEL. If that doesn't happen, chances are the MB is defective. Possibly the PSU, possibly the CPU, but much less likely.