First thing you need to do is isolate the peice of hardware that is causing the problem. The easiest way to do that is to take out all your parts and put them in an anti static bag (make sure you ground yourself everytime you work on your PC, by the way).
Begin by putting the motherboard in your case and fastening it in just enough to the point where it won't fall out when you set the case upright. Don't tighten the fasteners too much, and make sure there are no screws or fasteners underneath the motherboard, between it and the case. This will cause a short and prevent your PC from turning on.
Add the CPU and heatsink, taking care not to bend or break any of the pins on the underside of the processor. Make sure the heatsink has a working fan attached to it and plugged into a power supply connector or the motherboard.
Firmly seat the memory sticks in the DIMM slots and make sure the clasps are clipped onto the sticks. Make sure they are fully seated in the slots, as sometimes memory (especially DDR SDRAM) will look like it is seated correctly by the connectors will not be fully connected to the DIMM slot. This will also cause a short and prevent your system from starting.
Stop there, plug your PSU cable into the motherboard and try turning the computer on. If it still does not turn on, chances are the there is a problem with the CPU, memory or both. Try replacing the memory with different sticks to see if any of them will boot. If you have a spare CPU lying around, try using it to see if it will boot.
Once your computer starts to work, add each peice of hardware one by one until either the computer ceases to work again or you have installed all the hardware without a problem. If you do have a peice of hardware that will not work, add a different peice of hardware to determine whether or not it will work as well.
If none of this works, you'll want to look at your motherboard and power supply. Does it appear that any part of the motherboard is broken or burnt? Is the motherboard missing any peices? Have it RMA'ed if the board looks broken.
Hopefully you have at least a good quality power supply with the MINIMUM following specifications:
3.3volt line: 20 amps minimum
5.0volt line: 30 amps minimum
12volt line: 15 amps minimum
and
A combined 3.3v & 5.0v line output of 180watt minimum
If you don't have a power supply capable of at least these specs, then you might invest some money into a better power supply.
Sorry for the lengthy post, but I hope this helps a bit.