For me, it takes quite a long time for the display to pickup anything.
IF you're sure that the PC is thermally secure (i.e. your heatsink is on OK) then turn it on and leave it for a minute or so.
IF you have the speaker connected, it will most likely beep at you.
One single beep means all is cool, but anything else post it here (might be two long, one short for example).
EDIT: Have you put the four pin power thing into the motherboard? That might be the issue.