If proper connections are made it should work. Its important to review the manual and verify the connections are going to where they need to go. Also, the frt. panel power-ON/OFF harness si proper. You can remove the harness and using a small screwdriver or metal contact, short the contact for a split sec. and see if it powers-ON. That way yu know at least the proper contact was active. Next, check the video connection, if not on video car or on-board is connected, that way at least a flash may appear or not bit indicates power again is present. The monetarily flash you see1st powering-ON is only the surge and means only power is present BUT not active(ON?OFF) status. Alas, not cables/harness need be connected, if all that are required are connected. New PSUs come ready for various setups and thus not all are needed. Check and verify all is fully seated and OK, take your time.
You need to make a simple(basic) system, only enough to power-ON the system. If that doesn't work, again some connection isn't pressnt or misconnected. Of course, if all else fails, you can then though the status of components being OK, swap and replace. Google for bad caps or such and look for exmaples at www.badcaps.com. -OR- a troubleshooting chart giving ideas to check following the chart. You can't take anything for granted. If possible test compnets elsewhere. You didn't mention what wattage PSU was, is it better than 400W and a decent name brand?
tada -----Willy 
I finally tried to build my first computer today with the parts listed below, but when I try to turn on the computer, nothing happens. I disconnected all the peripherals from the PSU to eliminate that as a problem, but it still won't start. When I initially flip the switch for the PSU, the lights on my keyboard (Caps lock and the like) flash for a second, but then when I hit the power button on the case, it doesn't turn on. The PSU never makes a noise and the fan doesn't move.
I thought this might be because I only used 2 out of the 3 cables that you can't detach from the PSU (the website says that all "non-vital" cables are detachable, so maybe I need to use all 3 of these "vital" cables?). I used the 8 pin CPU connector and the 24 pin main power connector, but am not using the 4 pin CPU connector since there is nowhere on the motherboard to put it.
Do the lights on the keyboard mean the PSU works and I'm just doing something wrong or is the PSU dead? Or is it something else entirely, like the motherboard being dead? Thanks.
Build:
ASRock 770 Extreme3
OCZ 700W ModXStream Pro
AMD Athlon II 640
HIS Radeon 5770
OCZ Special Ops Edition Low Voltage RAM, 1600 Mhz, 2x2 GB
Antec 200 Case
Chowhound
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GameSpot
Giant Bomb
TechRepublic