Are all cables & devices connected properly? Make double sure.
There should be a little power light somewhere on the motherboard, when you turn your PSU on does this light come on?
What kind of PSU are you using (Manufacturer/Wattage)?
EDIT: Oh, can you post the rest of your system specs for reference?
AMD X2 4400+ Toledo 1MB/Asus A8N-SLI Deluxe/2GB Kingston HyperX/SLI Gigabyte 7800 GTX 256MB/Creative SB Audigy 2 ZS Plat w/ Creative Inspire 6.1 speakers /180GB Hitachi PATA/19\" AG Neovo F-419 LCD/OCZ PowerStream 600W PSU/WinXP Home SP2