Try building the system outside of the computer case on a box or other non-static smooth surface to rule out shorts. Only connect power supply, cpu, ram, and motherboard. You can start the system by putting a screwdriver on the 2 pins that the front panel power button would connect to. The computer should start up normally. If not, then something is either connected wrong, or one of those components was shorted by static electricity when installing.
Make sure the cpu connector from the power supply is plugged into the motherboard and not the GPU (graphics card) connector. They look similar.