Firstly, make sure the CPU heatsink is correctly fitted & is seated squarely over the chip. You need to have used a decent thermal compound as well & the right amount of it, unless, the heaksink had a thermal pad on the bottom, in which case, paste not req'd.
If you do remove the hsf at any point though, you must clean off old compound & reapply.
If thats all good, I suggest you disconnect all the drives & cabling this time & also remove any pci cads & the AGP card & just use the integrated video. If you have more than 1 stick of ram, then remove all additional ones. Clear the bios & try again. If no luck, replace the RAM stick you left in with one you took out. If you only had 1 stick of ram to start with, try moving it to a different socket.
If you still don't get anywhere, remove the mobo completely & test it again out of the case to eliminate any thing shorting the board. Place the mobo on a stack of paper before testing & make sure nothing other than the paper is touching the underside of the board.