solve the problem first. The switch should work from moment one.
If the switch doesn't turn it on, how does it get turned on [powered up]??? This is the clue.
Give us some answers. i can think of a few possibilities, but need your inputs first..
If there is any question about the switch itself, disconnect the wires from the mobo pins and MOMENTARILY short the two pins together with the blade of a small slot screwdriver.
This is my first time build. So far I have an IntelD865PERL motherboard with an Intel Pentium 4 2.26GH processor installed. I powered up the system to make sure the fans are working, my HDD LED and Power LED and reset work, but, the front panel power switch has no effect, it will neither turn the power on or off. I have checked the connections and they are right. Is this normal, do I have to wait until the OS is installed or should the switch work as things are?

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