As suggested, first see if it makes any beeps at all when you turn it on. If so, check those against your motherboard manual - fix whatever they indicate is broken.
If there are no beeps, then it's not POSTing. Go ahead and rip out everything (yes, everything) except the motherboard, CPU, video card, and RAM. Power it on. Does it POST? No? Try putting in known-good RAM. Does it POST? No? Carefully examine the CPU/Heatsink, making sure that they're installed properly/etc. Try again. Does it POST? No? Probably a motherboard issue, RMA it.
If it does post with just those few items in, add them back in, part by part, making sure that everything is seated properly and securely connected. Either you'll find a piece of hardware that makes it not-POST, or else everything will work. If you're lucky, it will be the latter and it means you just didn't hook something up completely the first time.
Since you just bought it, it'll be a little bit of a hassle, but you can send back any defective hardware you may have received.
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