Is your card seated completey?Do you have onboard video? If so, make sure that is turned off in the bios. Also, did you make sure all power connectors are plugged in? Especially the four pin plug? Alot of people forget to plug that in, and always freak out when their computer dosent turn on. I have done that SOO many times. I hook everything up, plug in everything, except that, and proceed to start to FREAK when I press power and nothing happens. Then I realize the plug, plug it in, and everything is copasetic!
If none of that works, start to fear the worst. That way, when the worst is not it, you will be less pissed off. If it dosent work, try the card in a different computer. If it works, there may be something wrong with your motherboard. If it dosent work, than you card is dead and you will need to return it. who makes it? XFX by any chance?