Computer starts up and then shuts right back down

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I just bought parts (over a period of time) for a new custom computer and I have been slaving away at pulling it together. I have everything set up, but the computer won't start. It powers on, whines at a really high pitch, and then shuts down. The motherboard light stays on, but everything else just shuts down. I tried stripping it so now I only have the CPU, PSU, hard drive, graphics card, and motherboard attached. It seems like as soon as the fan for the CPU starts, the whining--and the shutting down--starts. There's nothing in the way of the fan at all. Can anybody help me?
 
Some motherboards have a 4 or 6 pin connector near the CPU socket. Make sure you have the correct power supply plug connected. It is easy to plug in the wrong connector. Even if your power supply has a 4 pin connector and the motherboard has a 6 pin plug, you can sometimes plug in the 4 pin plug and it will boot normally. There are many other things that can cause this symptom....
 
The 4-pin thing is plugged into the 4-holed wire and it does the same thing. And if the PSU is damaged, wouldn't the motherboard's little green light not turn on? I'm going to try putting the PSU into another computer...
 
The green light will turn on regardless. The PSU is most likely not sending "power good" signal to the board. It could be a crap board as well... Hard to say without seeing it, so I'll put my pesos on the PSU.
 
The LED on the motherboard only needs one voltage to light. A power supply produces many voltages. If one or more of these many voltages is missing, the computer won't run
 
Could the same thing happen if the CPU fan is not sitting on the CPU properly, and hence the CPU isn't receiving the adequate cooling? Just built a comp for my bro and that was my biggest concern, since it was only my 3rd time building a computer. Was a pain to try to get all 4 fan legs/pins to click into the mobo and was so scared that I'd push too hard and break the board.
 
Yes, you are using the OEM Intel CPU heatsinks with the plastic push pins. Place the motherboard on a flat surface with the foam pad that came with the motherboard underneath. Using a flat-blade screwdriver, press straight down firmly and turn the locking mechanism about a half trun in the direction of the arrows. Make sure that the pins go through the motherboard and lock evenly. It takes a little practice, but it is extremely important that the heatsink is flat and not angled to the CPU die. I have learned to use 3rd party CPU coolers that have a metal plate that you use to srew the heatsink into. These are much better coolers and easier to install correctly. Good luck
 
The power supply does work when I plug it into my other computer. And thanks for the advice about the foam tmagic. It helped get the pins back in after I took the heatsink off to check the processor a ton -- they seemed to slip in compared to last time. But nothing seems to work still. The CPU LED on the motherboard turns on for a second and turns back off again, so could there still be a loose connection somewhere else or could it possibly be a faulty motherboard?
 
Reset didn't work... I'm going to try to go to a friend's house so I can test the processor. I'll be getting a replacement of the defective part. Thanks for all your help!
 
Is this an Emachines?

Also, I just ran into this tonight with a home built PC. The guy who built it for him used one of those cheap crap PSUs on it. We did a bunch of work on the OS, it was working fine. He took it home, plugged it in and nothing...dead. Turned out the mobo fried. Bets are the crappy PSU smoked his board when he plugged it in and hit the power.
 
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