Check the switch on the back of the PSU.
I know these seem like small things, but those are the things you'll overlook if you're in a hurry or not thinking.
Try another wall outlet. If neither of those two things work, check the motherboard over, see if there are any loose parts or burn marks. You may have to return the motherboard if there's something wrong with the electronics.
<font size=1><b>Current Build:</b>
DFI Lanparty Ultra-D
<a href=\"http://valid.x86-secret.com/show_oc?id=77714\">AMD 64 X2 4400+ @ 2.20GHz</a>
Big Typhoon Heatsink/Fan
2 GB G.Skill DDR500 PC4000
eVGA 256MB 7800GTX
2x 120GB Hard Drives</font>