You connected two cables from the monitor to your GPU? Why, you need only one cable per monitor. Use either the DVI (white) or VGA (blue).
As for the initial concern, are you certain that you've got your GPU in the correct PCI-E slot?
Have you plugged in the two PCI-E power cables from the PSU into the GPU?
If your answer to both of those questions is yes, then try building up your PC outside of the case to eliminate a short circuit.
If you don't know what I mean, click on the link in my signature, and then make your way to the breadboarding guide toward the end of the troubleshooting checklist.
It would hurt to work through the list either, as the troubleshooting checklist has the most common areas of concern/failure.