OK, well MAKE SURE you have absolutly everything connected right. If you have 4 ram slots, test your ram out in different slots, because sometimes the board is fussy and wants them in slot 1&2, or slot A&B, w/e. Check your manual. Again, make sure everything is connected right, make sure that your PSU has two cords going directly to the mobo, on should be a 20, or 24 pin molex, and the other a 4 pin molex. Also your cdrom drive should be connected to the right port, so check that.
Make sure everything has power.
If you are using a SATA hd, check if the SATA cable is in the right port, because again, mobos are sometimes fussy with that. Also make sure when using a SATA hd that you have only 1 power cord, either the normal 4pin molex, or the new flat molex connector.
If you need further help, just ask. Also please give me details of what you have connected, and how, also if possible give some pics.