I agree, sounds like it might be a faulty CPU. Have you ever used it, or can you test it on another board to be sure?
One last thing to try before RMA'n anything would be an extended Clear CMOS. Take the CMOS battery out and switch the PSU off on the back of the PSU, or unplug it from the wall. Then press and hold the power on button on the board or case for one minute. Then leave it like that for 20 minutes or do and put the battery back in and reconnect the PSU and then see if it will start or not.