Sounds like a power issue. Is there a 110/220 selector on the back of your PSU? Maybe the power/reset switches are on the wrong connectors on the board. Also make sure the CPU is properly seated in the socket.
You could try putting it together outside the case to see if you're maybe shorting something in the case.
Remember, if you get frustrated just give it a little kick, who knows it might work 8O
*edit* check the powerswitch for proper functioning, it could be as simple as that