You connected the power switch to the correct pin on the motherboard, right? If there is no power on the motherboard at all (i.e. no fans are spinning, no hard drive sound etc), that would mean two things:
1) Power supply is dead (very unlikely).
2) Power supply is not sufficent.
The second occasion happened to me. I upgraded form Cele 333 to P3 733 and the 125W supply couldn't handle it. Everything was connected properly but no fans were spinning. So, I changed it to 250W and it works just fine.
<font color=red>Apple</font color=red> <font color=blue>inside</font color=blue>, <font color=green>idiot</font color=green> <font color=purple>outside</font color=purple>...