You may have not connected the on/off switch to the board correctly.. Be sure it is connected to the correct set of pins on the mboard. And be sure the hard switch on back of the psu is in the "on" position..
I have just finished building up my desktop from scratch for the first time.
If you already tried plugging into another outlet I would say the PSU or motherboard is bad, assuming you got the cabling connected right
Could you post some info. on what you put together:
1. PSU
Make, model, & wattage, Motherboard Make/model, CPU make/model, graphics card, drives, HDD... list everything...
Is everything new? Or is some stuff new and some stuff old?