I've got almost the same exact setup as OP. And I'm getting the same exact problem as OP. My connections are on properly, though.
The motherboard supports AM3. So I know the chipset is ok.
I have a PCI Express video card. When I try plugging that in, the computer doesn't even power on. When I press the power button, a light on the card blinks real quick, the fans move for a split second, but nothing turns on.