New PC: won't boot

[Structural Integrity]

I received my new computer yesterday and I assembled it. After putting everything together I turned on the power, but it wouldn't boot.
All fans start (CPU, Case, Videocard), the CD-rom drive seemed to be staring by the flashing light, but that's it.
I got no video, not even a POST beep that the computer had been booted. Not even a series of beepsindicating that something was fishy.
So, I yanked everything out except for the motherboard and memory and tried to boot the motherboard alone. No success. No POST beep.
The odd thing is that the motherboard doesn't react on the on/off button either. So, I hold it down for over 5 seconds, but it remains on while it normally should shut down.

I'm thinking about RMA-ing the motherboard, but I'm not 100% sure it's the motherboard that's causing the problem. I have no way of testing the video card with it being a PCI-Express card nor do I have another case handy to put the motherboard in, incase the speaker is buggered (which seems unlikely to me).

So, what should I do? What else can it be? What else can I test?