Are you sure it's correctly mounted? Fan cable connected? Did you put on the proper amount of thermal compound, or does the cooler come with some pre-applied?? Sometimes coolers will come with a plastic cover that needs removed before installing. When you say it doesn't start, do you mean not at all, or power up for a few seconds before shutting off? If it's turning on for a few then shutting off, it's due to overheating and the processor/motherboard shutting down to protect itself. If it's not turning on at all, check any cables you may have bumped or moved around during assembly. If neither of these work, try removing and reinstalling the cooler.