The bit about it turning on right away and not shutting off when you hold the power button says that either you have a defective board, or somehow you managed to bridge a connection between just the power pins and not anything else. That seems very unlikely. RMA the board.
Just bought an Gigabyte 8TRS400M mobo and intel pentium 4 processor with 2 x 1gb ddr2 ram chips. Put it all together and when I power up all the fans are running, but there is no activation of the monitor. I also noticed that the pc comes on with the power straight away when I plug the cord in and I am unable to power off by holding in the power button (not sure if this is in relation to the fault?!?!) Anyway if somebody could please help then it would be appreciated before the wife stabs me to death!!!!!!