OK, it seems that there is a little bit of confusion. Let me put my problem again. PC shuts down immediately. When this symptom arise first time, I opened case and I have seen that after pressing switch, CPU fan starts and PSU fan starts - just after two-three second it stops. Just as we shut down PC. There is no beep or there is no time for the any beep as it shuts down instantly.
As advised by soybean, I removed board from case and started PC with just 24 pin plug. In this situation both of fans are running. When I plugged 12V same problem started.
I tested HDD on other PC with EXACTLY same motherboard. Only difference is, it is Celeron. Based on this result, I believe that there is no problem with HDD.
I hope this clarification would help other expert to understand actual situation.
Waiting for further comments from experts.
Thanks