In your post you did not mention that you have installed memory.
That must be in place before booting upthe First time.
The absolute minimum devices to see the POST and the BIOS messagescreens are the next:
Well fitted mainboard and ATX power in place. (I assume ATX by default)
Front Panel connectors (At least the power switch) attached.
CPU and Heatsink/fan installed.
Some memory installed.
A PCI or AGP videocard installed (Or if it has onboard, leave it so)
A monitor attached and powered on the video output.