I think dmdilks is right about this being a bios issue. I wouldn't worry about the power supply for now. Let me try to further explain.
Every motherboard has a bios, which is a small chip on the board with software inside to explain how to get the board to boot up and run. The bios has info on cpus and memory, etc. If the bios doesn't have info on how to run a certain cpu, well, then the board may not boot up at all. This seems to be happening to you.
The 860K is a newer cpu and you need at least the F5 bios. There is also an F6 now. See here:
http://www.gigabyte.com/products/product-page.aspx?pid=4709#biosWhen updating a bios it's best to just update to the latest one, which as I said is the F6.
You can't update the bios with that 860K cpu in place. You would need to swap that out and put in a supported cpu. See the Gigabyte page and the motherboard manual for how to flash an updated bios.
So now the issue is where to you get a supported cpu or apu which you only need for 5 to 10 minutes, and what do you do with it after you update the bios? You could buy a cheap cpu or apu and sell it when done, or you could give up on this board and see if you can return it and get something else, but you might run into the same issue with another board.
Is it possible to go back to where you bought it and have them help you? If you got the board from a store with real tech support they may be able to help.