Do you have a system speaker installed? You won't hear any beeps without one. The READ before posting about boot problems! sticky at the top of the forum was created to troubleshoot this type of problem. You need to go through every step in the checklist to properly diagnose the problem.
Did you install motherboard standoffs (the brass things under the motherboard that screw into the motherboard tray)?
Do the fans come on? If not, are you sure the front panel connectors are in the right place? Does the PSU have a power switch and is it turned on? Does the PSU have a voltage switch and is it set to the proper voltage?
remove everything but PSU, motherboard, proc, and HSF (not even memory). Does that do anything? it should beep.
Do you have spare parts to sub in for testing? Could be an actually faulty part that needs to be replaced.
I highly doubt the motherboard has a speaker built in. None of the recent motherboards I've used (including Asus) have had one. There's a link to where to get one for cheap in the troubleshooting sticky.
I agree that it sounds like you forgot to plug in the 4-pin CPU power connector located near the CPU socket. It has to be plugged in as well as the main 24-pin motherboard connector. The CPU power connector sits right next to a heatsink on the board.