Greetings,
The power LED is a simple circuit. If it remains lit after the system is turned off, there is likely a wiring issue. Same goes for the power supply. Something is keeping it from shutting down. Try resetting the BIOS and performing a CLR_CMOS. Also recheck all of your connections. Might be (software or hardware) related.
What you our full systems specs?
What OS are you running on the board?