OK, so, full list of components, please.
I know board, and CPU, how about ram?
See, if the board was even partially booting, and there was a hardware problem, attaching the speaker would have pointed to the problem, assuming the speaker made some noise when you push the power button, either a single beep for complete POST, or multiple beeps for hardware error.
You are not getting even that far, seemingly.
It is time to take the motherboard out of the case, place it on the box it came in, and try booting with just a single stick of ram in, power supply connected, CPU and cooler mounted, and videocard. If this fails, it's time to consider talking to the retailer about getting the board replaced. hopefully you bought from a local store so you can take it there and have them test everything.
SneekyPeet gave the best advice...if there are no beeps at all form the speaker when you press the power button, something is quite wrong there.
Of course, you may want to try flipping the power button cable from the case over, so that the writing on it is facing the other direction. some switches only work if conencted with the right +/- orientation.