Have you connected any of the front panel (power + reset buttons and power + HDD LEDs) bits up yet?
Identify on the motherboard which headers are for these 4 connections. You may also have a speaker cable which may also go to the same set of headers. Each of the cables (actually the black plastic end bit) will be labelled something like "PWR LED" and "PWR".
This plastic bits just push into the correct header on the mobo. If they are inserted the wrong way around the LEDs will not work but the switches will. The LEDs will not be broken, you just need to switch the plastic bit around.
The other front connetions are likely to be an audio cable (again, look for that on your mobo - hint: use the manual), a firewire cable and a USB cable. These all have suitable headers on the mobo. The USB may well have 2 sets of connections. A block of 10 (with one pin hole blocked) or a set of 10 individual connections. Use the block. This will only fit one way and will not toast your mobo..