As others have said, try to turn it on with everything non-critical (drives, expansion cards etc.) unplugged, make sure the on board speaker is connected (unless it's on the mobo itself), and see if it complains. If it does POST when doing this, connect stuff one item at a time until it stops working. Remove that item, keep connecting other items until everything is either connected or found to cause problems.
Finally double and triple check these problem items to make sure they aren't visibly damaged (scratches, bent/missing capacitors and what have you), then try them again while making very sure they're properly connected. If they still cause failure, send them back for replacements.
And if it won't POST even with nothing connected, it can really only be two things, the mobo or the PSU. In this case triple check to make sure the correct power connections are connected in the right places (check with both the PSU and mobo manual, don't just assume it's correct because it fits... some will fit in several places). If that still doesn't do it, try the mobo with a different PSU if you have one, and you should know what to return for replacement.
