I know that sick feeling when you press the switch and nothing happens! If it any consolation, I have built 5 PCs and 3 of them didn't start first time.
I think the key is to not panic and start wildly trying this thing and that thing in a haphazard way, you only get in a frazzle, and there is the danger of making an expensive mistake like taking out or inserting a display card or RAM stick with the power on.
Proceed calmly and logically. I am presuming that you have checked and preferably double checked that the RAM and CPU are definitely compatible with the motherboard, that all jumpers and so on are set right, that the CMOS has been discharged (see motherboard manual). You do not say if you are hearing any disk sounds, such as HDD and CD/DVD drive spinning up (if there is a disk in it.) Can you get the tray to eject?
Do you definitely know that the monitor works?
In my opinion, for a new build, it is a mistake to hook absolutely everything up, all the disk drives, all the RAM sticks, the whole setup, for a first trial boot. I suggest you carefully make a minimal setup: 1 RAM stick, the CPU, display card, nothing else, and see if it POSTS. If the motherboard has a speaker on it, you should hear a beep, or possibly a number of beeps. If it POSTS, (ie you hear a single beep) and you see stuff on the screen, that's a start. If you don't it's a clue. If it hasn't started, powering down first each time, try each of the RAM sticks in turn.
This way you will check the RAM sticks one by one. If they all pass, power down & install the lot and move on to the next stage.
Next hook up the hard drive correctly, checking any jumper settings. Power up and see if you can enter the BIOS and get it recognised. If so, power down & add the CD/DVD drive and once again power up & see what happens.
What you are doing is adding a piece of hardware each time and seeing if the rig still boots up.
Just a thought... some BIOSes have stopped-fan protection set by default, that is, they won't power up the CPU if they don't detect a rotating CPU fan connected to the appropriate header on the motherboard. If you are using a water cooling system it may be necessary to plug a CPU fan into the header just so you can go in the BIOS and disable the fan monitor protection.
