Disconnect all unnecessary hardware like CD/DVDs extra hard disks or PCI cards then try to start.
Does it beep at all? There usually is one beep. If not, remove all but one stick of RAM, if no different remove all RAM.
Have you checked the manufacturers website to make sure the CPU will be recognised by the BIOS version that is running on the motherboard? You need to get it to the POST screen to make sure the CPU is named correctly.