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?