Firstly make sure all the Power Light/Hard Drive Light and especially
Speaker is plugged into the correct pins. Those beeps made when a computer starts can tell you a lot
about what is wrong with your computer.
Seeing as though it is the first computer you have built, were you careful when installing the components? I mean were you
grounded when touching hardware, wearing an anti-static band or stood on a anti-static matt?
Only experienced builders should really not use anti-static equipment (really everyone should use them) - or if you are in a rush
But seriously, always make sure you are grounded, any static electricity can damage sensetive components.
Refer to the manual also, make sure everything is compatible, again and again and again if you have to
. I can't stress it enough, never force any hardware in, it can damage the hardware and the port/slot/socket.
If you are certain everything is good to go, all powered etc. Then individually check everything over, yes again... practice makes perfect.
Okay everything is good to go right? right?! Use onboard of everything that the motherboard supports and see if it boots.
Experience tells me that sometimes it is just something stupid not being plugged in