Take out / unplug any non-essential component (CD ROM, PCI cards[except video],...) and try to boot.
With the minimum components (CPU, 1 RAM, 1 video card[ if you have an on-board video card on your motherboard, use that one], 1 Hard Drive) try swapping power cables and connector ribbons.
Sometimes it is a connector or a slot that causes the problem. Trying different IDE ribbon cables or power wire for the hard drives or checking the RAMs one by one on all the slots, can help in identifying damaged parts or slots.
Verify that the heatsink is in full contact with the CPU. CPUs not connected to heatsinks heat up in a matter of seconds crashing, or turning the computer off.
If this does not work, take the motherboard out of the casing. Sometimes there is a short between the motherboard and the case. Put the motherboard on an insulated surface and try.
You should have verified your power supply before getting to this page. If you have not, then proceed to power supply test. If you have already done that, then we need to check your motherboard Click Here!
If you are not sure how to manipulate different parts click on the following links to get more informationon how to install: