Since you know the PSU is working and connected properly.. the CPU or MB is bunkt. Try this *note* seriously do this very fast or youll end up burning yourself. Take off the heatsink on the cpu, put your finger on it and turn on the power, within a second the cpu whould be scalding hot or not really hot at all. If you end up burning your finger, the CPU is bad, if the CPU isnt getting hot, or not very hot at all, then its the MB. Chances are it's not the RAM or VidCard, you can usually get to post or get some beeps out of it even if those two are not installed/broked.
Its a crappy way to find out, but it works ^_^