I had this happen to me the very first time I tried to build a computer, but it turned out that I didn't have the proc pushed all the way down into the board. It was a P3, the old Slot 1 type. I was being too gentle and didn't push it all the way into the connectors. So when I turned on the pc nothing happened except the fans spun.
I took it to a guy I knew at the time and he just pushed on the proc til it popped in and turned it on.
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