Unplug everything, plug all the cables back, (obviously - don't do anything when it's live), carefully check and cross check with the power supply and motherboard manuals that you plugged in everything correctly.
There are two things you need for the motherboard to light up some LED on it to indicate it's getting power: The 4 or 8 pin CPU power cable and the 24 pin ATX cable. When both of them are properly plugged in, just plug in the power chord to the PSU and switch it on, you don't even need to use the power button, some LED would light up on the motherboard, indicating it's getting power.