http://www.youtube.com/watch?v=co2RizQ8U2k
Ok this is gonna kill ya LOL but I want you to now disconnect your power from the wall and I want you to remove the heatsink fan from your CPU and then remove the CPU (carefully) from the socket and with a strong light and magnifying glass check the socket for bent or misaligned socket pins!
Look at this link. this is what I mean by bent pins..........Not the way they are layed out.http://www.overclock.net/t/1284190/motherboard-cpu-socket-pins
Pretty hard to tell from those pics.............But as far as I could tell looks ok. Did you buy all these parts from a local store? You could have a faulty board, if you bought it locally take it (board) and ask for another. Then try again.