That happened to me when I built mine. I just went through and triple-checked everything to make sure they were all installed right, then it worked.
Disconnect everything except for the minimal stuff needed to boot up, to make sure your mobo and processor are fine. Just hook up video, CPU/Heatsink/Fan, power switch, and main power to the motherboard. If it still won't boot up, take the motherboard out of the case and try again, to make sure it's not shorting against something.