as devil said,
disconnect everything.
remove everything.
memory, cables, cards, hard drives, usb ports, fans, whatever.
put the cpu in the socket. put the cpu heatsink. plug the cpu fan.
plug the psu on the motherboard
plug the cpu power.
plug the psu on the wall socket.
turn on the psu (if at this point the psu starts on its own, it most probably means that your mobo is dead.)
short the PWR pins of the motherboard.
if i forget something, please correct me. i think i got it all.
warning: this is from memory so better check it yourself if these are the correct cables!!!
if you are feeling adventurous, there is a way to test the psu. you short the green cable with one of the black ones. if it starts, your psu might be ok.
remember: if something bad happens to you, it's not my fault. (sorry)