I've seen this complaint by a number of people on other forums. I'm going to assume the obvious thing-that the 4-pin CPU power plug is connected. The most often tried remedy is to reset the BIOS (remove the battery for a few minutes, change the jumper settings to clear the CMOS, replace the jumper settings and battery) and then see if it fires up. It could also be a power supply issue or a thermal problem if the heat sink is not making proper contact with the CPU or it's fan is not spinning, or it could be a problem with the motherboard.
As Stooge said, a lot of people have this problem. If you do a search you will get all the info you need, it could be soooo many things. Adding to what he said.... if you are using ram that´s supposed to run at more than 1,8v you may need to get some 1,8v ram to POST it and get in the BIOS to change the ram voltage to what it´s supposed to be. Then change the ram stick and restart. Good luck.