"..There was a testing dongle that came with the PSU and that shows that it works. I also plugged it into other components and they were powered." So the PSU fan came on in these cases, but not with the MB power cables attached?
IF so, then pull all parts from the MB except the CPU, CPU fan, PSU. No disk cables, no fan cables, no USB2, USB3, etc. all wires off the MB except the two power cables from the PSU. Now start it. If you get a "no memory" error and the PSU fan works great. If the PSU fan does not work then one of the following is happening
1. The MB is shorting against the case. Check mounting hardware. Try removing MB and repeating test on a piece of cardboard like the MBbox.
2. The MB power wires are pinched and shorting
3. The MB has failed and is shorting
4. The PSU is bad, but in this case from your other test it's likely not the PSU
5. The CPU is bad, but again not likely
6. The CPU fan is shorting. Not likely.
7. You've plugged the 4 pin conenctor in BACKWARDS. It sounds unlikely, but I 've seen it. You can shove the connector in the wrong way.
If you do get the "no memory" error code with the PSU fan working, then unplug, add some parts back in and then start up again. Eventually you will find the part that is shorting or you will find that all the parts now work.
Update: forgot to add, once you have all the case headers off the PC there is no switch to start your PC. A few high end MBs have a button for this. The rest of us use a screwdriver to momentarily short the power button pins simulating pressing the button. You only hold the screwdriver on for a second or less. The MB detects the short between the pins and starts its power on self test. You can see videos of people doing this on youtube.
While I'm updating this post, the "no post, no video" sticky in this forum has a description of "bread-boarding" and some other things to check. It's worth reading.
http://www.tomshardware.com/forum/261145-31-perform-steps-posting-post-boot-video-problems