There are loads that can go wrong with a build, that can easily be fixed.
This mini guide may help a little -
http://www.buildyourown.org.uk/pc-building/troubleshooting/
Google for a "motherboard test kit" that will give you the switches and a speaker you will need, which can help you easily turn the machine on, check things are working, and get the system to POST.
Good luck.
EDIT: Just seen you are sorted, nice one. With my first build, I was switching the machine on, but it just wouldn't load up at all. The fan spun for a few seconds, then would turn off straight away. I took the machine apart (I did test it outside the case before), thinking a short was caused that problem.
Turns out, in my complete n00b wisdom, I was actually turning the PSU off (not on) and it was being powered by the residual power left in the system

So when I turned it "off" (actually on) it gave a little bit more power into the system, meaning when I turned the PSU "on" (actually off) it would power the LED's and the fans for a few seconds

Felt a right idiot afterwards, haha.