There can be several causes for your problem.
So I will walk you through checking the most likely causes.
If you have the manual for your Motherboard it will be useful for reference purposes, otherwise you can find it at intels website with the following link.
First thing I would check is that ALL of the power connectors are in place and secure. In particular check the 20 pin ATX connector and the two 12V connectors (2 four pin square connectors) right next to the CPU.
I'm not sure if the Aux PCIe connector at the bottom of the board needs to be connected if you have just one Video card. If your Video card has its own power connecter make sure that is attached and secure.
When installing the motherboard there should have been some standoffs you needed to install, more than likely at least nine of them. if any or all of them had a metallic ring around the screw hole then they are important that you have a standoff under it and that it is secured with an electrically conductive screw(Any that came with your case that thread into the standoff should be good).
make sure that that the processor is fully seated and the heatsink (Cooling block if building a water cooled system) is attached properly with a thermal pad/paste.
make sure the fan for the processor is properly attached to the heatsink and its power leads are connected to the CPU fan power connector(On your board the connector is a four pin) the one on the fan may be 3 or 4 pin depending on in it is speed adjustable by the BIOS
there are lockdown latches for your RAM and Video cards, they should come up and fully seat into the notch on the video card and RAM modules.
If you don't have enough RAM modules to fill all 4 slots at once, use the one next to your CPU first then the one the same color as that, then the next one up and its like colored. if you want your RAM. If installing in pairs its important to make sure they have the same specification (Size and timings)
Connect your case fans to their repective pins on the Motherboard.
Connect the power and data cables for your Optical drive(s) and Hard drives.
Make sure the case wiring is attached and properly oriented on their headers
attach the USB & or Firewire(1394) connectors to their respective headers (Be sure not to interchange and attach a 1394 cable to a USB header or vice versa) [That could kill the connectors or fry the Motherboard]
Now I think your ready for a test run.
leave the side panel off and connect everything up and try to boot, If you see a light on the motherboard then thats a good sign that all of the power connectors are properly attached and that the Motherboard is OK.
If you fail to get that light the motherboard may have been damaged when you attempted to power up and the CPU wasn't properly seated
If it attempts to start but shuts down right away, you may have a damaged CPU (Processor) unplug everything, remove the processor(Make sure you discharge any static electricity by placing a hand on the side of you Power supply before touching the CPU) turn it over and look to see if any pins are bent (If so you can straighten them again by using a mechanical pencil. Just pull the lead out and slide the pencil over the pin and adjust to as straight as you can.
Reinstall the processor clean off the old thermal pad/paste from CPU & Heatsink with a Qtip and some rubbing alchohol. Let dry and apply a new thermal pad or paste. If using paste put an amount about the size of a dime over the Core of the CPU if you want to spread it use something other than your finger[oil from skin can affect the pastes conductivity] then reattach Heatsing and fan
and give it another go. If it still does not work, you may have damaged your CPU electrically and it should be replaced(maybe under warranty, since its brand new)
Hope this helps