Building my first system and having probs

Hi everyone. I'm building my first computer system consisting of the following components. I'm having all kinds of problems getting it to work. Evertthing was purchased in the last week or so.
Raidmax Model 228(SILVER/BEIGE) 10-bay Case Retail
Antec P4 ATX12V 400 Watt Power Supply With 2 Fans, Model "SL400" -RETAIL
MSI 865PE Chipset Motherboard for Intel Socket 478 CPU, Model "Neo2-PFISR " -RETAIL
Western Digital 40GB 7200RPM SATA Hard Drive, Model WD800JD, OEM Drive Only
GAINWARD nVIDIA GeForce FX5900 Video Card, 128MB DDR, 128-bit, DVI/TV-Out, 8X AGP, Model "FX Ultra/1100TV/DVI" -RETAIL
Intel Pentium 4/ 2.8C GHz 800MHz FSB, 512K Cache, Hyper Threading Technology - Retail
Corsair XMS Extreme Memory Speed Series, (Twin Pack) 184 Pin 1GB(512MBx2) DDR PC-3200 - Retail
AOC 9GLR 19" CRT Monitor –RETAIL
I've put this together no less then 12 times now and still cannot get the system to work at all. The only thing I've noticed in the mobo manual that I can't do is the power LED wire(Which I cannot find in the case at all despite taking everything apart numerous times).
Will the lack of a plugged in power LED keep this from starting up?
Problems I been having
Once I connect the IDE cable to the HD and then to the board the HD doesnt spin. Disconnecting the IDE from the mobo and leaving it plugged into the power supply and turning it on gets the HD spinning. Putting this HD in another computer worked just fine. Taking a working HD from another comp does the same thing when the IDE gets plugged into the mobo.
No Power LED light and reset switch doesnt work, even though the reset switch is in the correct place.
No display when I get it powered up. Comp shows a blue screen that says something like please check display. The vid card works in my other computer just fine. Taking a working vid card from a working computer and placing it in this one does not work either.
I tried to just do the basics. Vid card, CPU, memory, floppy drive, power supply and still no luck.
I'm very new at this and my only idea is that I got a bad motherboard.(I ordered all the components at newegg.com and compuplus.com). Is there any other ideas anyone has that may help me get this up and running before I take it to a computer shop?
Thanks in advance

Hi shadowizar,
I could tell you the "Blah Blah" on building systems.....but hey...you intelligent enough.
First, disconect all drives......all you need to boot is:
1)MB
2)CPU
3)Ram
4)PSU
5)VGA Card (Graphics......especially placed for Reilly875!!!! LOL)
6) Monitor
Do you receive, boot?
BTW......I did not include case for a reason.....make sure the motherboard is not "fouled" on the case at all.......ie a screw lodged between MB & Case/MB plate
Del

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headrush wrote:
This is a problem I have had on a number of systems:

Either we are upgrading the sound card or we have replaced the motherboard, which includes upgrading the sound card. What happens many if not all the time is that we have to upgrade the OS or reinstall the drivers on the Windows 98/ME/2000/XP machine we have. Wiping the system and starting over is not always an option. Most of the sound cards we are installing are PCI28/PCI6 and some li've cards.

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Dan the 480 Man wrote:
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