Let me get this straight...
Did you plug in the Main power connector 20/24 pin to the motherboard as well as the CPU 4/8 pin?
Plug to power cord to the wall?
Some power supplies have a light on the back.... if so did it turn on?
Most motherboards have some light (in the form of a clock or a simple light bulb... did it turn on?
Another reason for system to not turn on is loose RAM, make sure that they are firmly attached on their slots.
Another reason would be the CPU's cooler/fan, make sure that is properly attached.