You have probably made a mistake when assembling the computer.
You should check all connections (first unplug the computer).
If you have a video card - check to see that any Aux power connections are connected to the correct power cables. Check to see if the card is fully inserted in the correct slot and is compatible with the motherboard.
check to see if the motherboard and CPU are compatible.
check to see if the case my be grounding out the motherboard.
Are there any diagnostic lights on the motherboard.
Tell us more about the motherboard ID and CPU model.