Burning Smell on New Build

I started off today with a fry-up. Not the normal kind though - something fried in my new build.

OK. So I'm on a tight budget, but managed to scrape together for a new MOBO, CPU, Graphics and RAM to put in my existing rig. I spent about 10 hours yesterday trying to get it to work without success and this morning things went from bad to worse. The aroma of burning components just make you want to cry.

My new build is as follows:
CPU: Intel Dual Core e2160 (new)
MB: Asus P5W DH Deluxe (I got it 3 days ago from Aria bargain basement - seal broken but looks new)
RAM: Crucial 2GB (1GBx2) PC2-4200 (new)
Graphics: Asus En7300GT silent (new)
Power Supply: Tagan TG480-U01 (3 years old)
Case: TigerMax SF562T1 (cheap one)

Yesterday, the system was not going into post, there was no output to display, and it was not making any beeps. I was thinking it could be a bios issue, since lots of people had this same problem with the DH Deluxe's old bios not recognising core 2 duo cpus.

I've been reading tons on forums, and someone said that Asus advised to start the machine without CPU installed to see if there were any beeps. So I popped it out, switched on, and the @@@@ thing made crackling noises and a burning smell.

I have no idea want went or what to do next. Did I do something wrong?

Off the top of my head, I think it could be the PSU. It's three years old, but a good make, so I thought it would be ok. I've got a multimeter, but don't know how to check my PSU.

I don't have another system to check components, so I am thinking I could buy another set of the components, and sell surplus components on ebay later.

I would really appreciate some advice from more experienced people. This is my second build, but I learnt a heck of a lot from my first build, so I'm not a newbie. Cheers.