Hi,
I have the same problem. Same MB with a AMD Phenom II x4 840 processor. And I am using 4 GB of 1333 MHz DDR3 memory (Corsair).
All components (including power supply, memory, hard disk and DVD Writer) are brand new. I am using the on-board VGA controller.
What happens is that the main on/off switch works fine, the CPU fan runs, but the system does not POST. The 4 bluish LED lights on the motherboard come on and stay on - but the monitor, keyboard and mouse show nothing. No diagnostic beeps are given out.
MSI support people said to try a different power supply, with more power/juice (my current power supply is a 380W one). Don't know if that is going to change anything though.
One thing I found was that the supported CPU list for this motherboard said it support this processor, but with a Deneb core. I think the currently shipping x4 840 processors all have a Propus core. Don't know if it matters or not, but I thought I'd throw this out there.
Any help on the matter is deeply appreciated.