Meaning the power supply should be earthed to the wall socket, if done right. If you have been scuffing around on the carpet while doing this or wearing nylon clothes or polyester, it was the static electricity leaving your body jumping to earth or ground on the PSU.
Dump the PSU and be more careful next time else you will always be wondering...
If it had alot of dust it could be shorting to the case and you completed the circuit.
wow thanks guys for the replies. I just went to readjust the connection to the mains and viola! no more current flowing through the case! and yes it is a dusty PSU.