Agreed, you need to plug in the EPS12V connector (or at least the main 4-pin one, depending on your system).
Also note that if you haven't taken the CPU out of the box and installed it in the motherboard, you should do that. Don't forget the RAM too!
Oh, and the PSU needs to be plugged into an outlet.
(Munz does raise a valid point that we shouldn't assume much about what the OP has already checked for, but I think we can draw the line before all of these.)