I think if you look at the specs of the board it will say that it needs an ATX PS.
Some boards, really need the small separate P4 connector, and there are ATX PS that do not have it.
The other issue is the PS quality and rating versus the board/CPU combination.
Can you explain what board, CPU, PS... are you using?
Are you sure all jumpers are properly set? I assume this is not your first time building a system.