After several years, I finally got around to building my own computer. After browsing the forums and Newegg, I settled on the following build:

MSI P35 Neo2 Motherboard
XFX GeForce 8800GT 512MB Video Card
Intel Core 2 Duo E6750 2.66 GHz OCed to 3.00 GHz
COOLER MASTER RC-690-KKN1-GP Black SECC/ABS ATX Case
ePOWER ZU-550W ATX12V Version 2.0 / EPS12V 550W PSU
4GB pqi 4 x 1GB 240-Pin DDR2 SDRAM DDR2 800

The system is running very smoothly, but there seems to be a problem when the system first starts. When I press the power button, the fans turn on and start to spin, then shut off in about half a second. However, in about 2 more seconds the system turns on and stays on as it should. Other than the initial boot up problem, the system is running fine. My first thought was that the system was running some kind of diagnostic test in the beginning, but I want to make sure that it's not a problem. Could it be a wiring problem? This is the first time I built a computer, so I don't think I can rule that out.

Thanks in advance, any help would be appreciated.

EDIT:
Yeah, the 4 gigs of ram is a bit overdoing it, but hey, ram is cheap.
Also, the PSU isn't exactly super quality, but it seems to be decent. Could the PSU be the problem?

Good question. Some of my systems do the same thing when I overclock/overvolt the system. If I take the overclock off, the system does not do as you describe:

"When I press the power button, the fans turn on and start to spin, then shut off in about half a second. However, in about 2 more seconds the system turns on and stays on as it should."

Perhaps the MB voltage regulators are responding to the overclock/overvolt. A kind of safety check mechanism? Or the newer PSU's have a safety mechanism of some kind?

My machine does this too but I seem to have no ill effects from it.

I would be curious to find out what it is too. Badge might be onto something.

The system also did this before I overclocked, on my first boot actually.
First time I built a computer and I press the power button and see the computer turn off in about two seconds. I nearly wet myself before the system turned on again.

EDIT:
Also, although I did overclock the CPU, thanks to the G0 stepping I didn't even have to increase the voltage at all, so all components are running at stock voltages.

Anyone know what's going on? I'm kind of paranoid.