I also got a bunch of other stuff as well but my question is I think my power supply is dead but I'm not 100% sure. You
see I took it out of the box plugged it in nothing else attached and nothing happened, is that suppose to happen or
does the power supply only kick on when it is under a more heavy load????? Sorry for such a newbie question :-)
Nothing is supposed to happen.
The psu needs a signal in order to start, to give it that signal without it being attached to the motherboard you need to jump the green ( Power On ) pin with any of the black ( ground ) pins on the 24 pin main connector ( use a bent paperclip ), it usually helps to have some type of load attached ( a fan would do ) so that you know the juice is flowing.
Like WR2 said, that is normal behavior, your PSU doesnt turn on unless it receives a single from the motherboard(the green wire on the main connector gets shorted to ground) it then turns itself on and starts providing power down the other rails. If you are really paranoid your PSU might be DOA you can test it before you build the rest of the system by doing the steps shown in this video by corsair. http://www.youtube.com/watch?v=5FWXgQSokF4
You can test ALL your parts before you finish your build by 'bread' boarding.
Essentially you build the system outside the case (like on a piece of cardboard) and test before you stuff it in the case.
Use the startup tip hunter315 mentions to run the system before you install in your case.