You aren't getting any beep codes?
They (beep codes) can tall you what is wrong.
Are your fans running? do you get any indication at all?
If your fans are running, I would first suspect the vid card, and the cpu..not nessesarily in that order.
If the fans are not running when you turn it on, then you should relook at the power connections. For P4 boards there is a second power connector...looks kinda square...if that is not plugged in, that might be the problem.
You might try a cheapo pci vid card just to make sure it ain't the card, and if that doesn't work, can you borow a cpu from somebody? If you can't borow a cpu, then maybe somebody will let you boot up the cpu in another board? like maybe the sales person from whom you bought the parts?
Are you using the right ram? e.g. ddr for ddr board, and sdram for sdram board...and the voltage jumpers are set right.
This might sound stupid, but is the power supply turned on?
Well that's all I got 4 now...hope it helps.