Just basic diagnostic tools
First thing to check IS the Power Supply.
Then the diagnosis goes on.
So far all you have told me is an assumption. You ASSUME the Power Supply is OK.
1) If ALL of the LED's were on at once, they would use less than 1 Watt of power.
2) EACH fan uses 2 to 3 Watts of power.
3) A typical Processor can draw from 51 to 125 Watts of power.
Just depends on what Processor it is,
By having JUST the CPU on the motherboard, and the fan on the Power Supply doesn't work; you have just PROVED that.
Do you have a multimeter?
An economical one can be purchased for as little as $5 to $12.
Available in a multitude of stores.
There are 3 main voltages to check. Check while PSU is plugged into mobo. (Power Supply Unit; MOtherBOard)
A) 3.3 Volts
B) 5 Volts
C) 12 Volts
All are DC Voltage. (Dotted line over a solid line for Multimeter)http://www.playtool.com/pages/psuconnectors/connectors.html#atxmain24
The Orange wires are 3.3 Volts
The Red wires are 5 Volts
The Yellow wires are 12 Volts. All are DC Voltage. (DCV)
The 24-pin ATX main power cable is left plugged into the mobo.
The BACK of the power cable's connector; is where the wires go in.
Power Supply unplugged from power; a straightened out paperclip is inserted down into the socket hole with an Orange wire in it.
The paperclip slides down alongside the insulation of the Orange wire, and touches a metal female terminal.
Every wire going into the 24-pin ATX main power cable's connector, ends in a Molex female metal terminal,http://www.molex.com/molex/products/datasheet.jsp?part=active/0002081202_CRIMP_TERMINALS.xml&channel=Products&Lang=en-US
The brass tip openings can be seen, in the Playtool link's middle photo. (Tip openings; Front. Paperclip touches Back)
MUST touch that metal terminal.
Another paperclip is slid down into ANY socket hole, with a Black wires in it.
ALL Black wires are Ground wires.
Making sure the paperclip jumper wires, are of the correct length by cutting; there is no way they will accidentally touch each other.
Positive (Red) probe lead of multimeter to Orange wire paperclip;
Negative (Black) probe lead of multimeter to Black wire paperclip.
You should read 3.3 Volts (DC)
Do the same for the Red - 5 Volt wire. Red wire and Black wire.
12 Volt - Yellow wire and Black wire.
Post back in a Comment.
On another note;
Did you just recently mount the mobo to the computer case?
Did you use metal Standoff's, or plastic Spacers?
(Standoff - Hex shaped brass piece, usually 1/2 inch tall; and with a threaded hole on one end, and a threaded shaft on the other)
The Support Plate can be a separate metal plate; or is an integral part of the computer case.
IF, there is a Standoff on the Support Plate, that is NOT lined up to a motherboard mounting hole, it can touch exposed solder joints on the bottom of the motherboard.
This will short circuit the motherboard. MOST of the time when the 'offending' Standoff is removed; everything is OK.