Just to go through a check list to see what you have and have not checked;
Is the cpu power connector pluged in?
Is the main 20/24 pin motherboard connected and seated all the way in?
Are all the power connectors pluged in and seated all the way in?
Are you sure that the power supply is good?
To test the psu you can try the paper clip test;http://dodji.seketeli.com/downloads/shuttle-psu-paper-clip-test.pdf