I needed another second system for my family to replace my failing Pentium 3 system.  I already had 2 gigs of PC3200 RAM, a PCI-e card, and an Athlon 64 3200+ cpu.  All are in working order.  I purchased an EPoX 9NPA+Ultra 939 motherboard used but in excellent condition (I have another board like this one in another system and it is rock stable).  All the the rest of the parts are new.
 
To be honest, this is the first time I have built a rig by myself, though I have built other rigs with help.  It wasn't difficult and last night I made all the connections -- or so I thought.  I got up this morning to load the chipset drivers, etc. and... Nothing.  No power whatsoever.
 
I rechecked my connections including both the main power and 4-pin connectors.  I made sure the swith to the PSU was on... Nothing.
 
It could be the PSU was DOA but I don't know at this point.  I have a multimeter but for that to work the PSU must be at least powered up.  It could be almost anything.
 
What steps do you recommend that I take?  Thanks in advance.

It is more than likely your PSU.
 
Could be your board as well; I would check the PSU first. Try to borrow a crappy one out of a friend's old rig or something.
 
Are you sure the power switch is plugged into the right spot on your mobo?

1.Power switch is plugged into the right spot on your mobo?
2.Does you mobo have led indicator for power on?
 

Is there a switch on the PSU itself? You can check the unit by shorting 3&4 (green and black) together with a paper clip and then check for voltage on the colored wires. If the fan on the unit isn't spinning when you turn it on, I'd say that the unit is DOA.