Hello There, Ssarrs here :-)

Here is what I usually do.

1  If case doesn't have it installed already, PSU into the case.
2  Install CPU on to the motherboard.
3  Install the heatsink onto the CPU
        Several things to check here.
        You said the heatsink had that square of whatever it is in lieu of
         thermal paste. Did you remove the plastic protector tape that
usually         covers this?
4  Install the fan onto the heatsink.
5  Install the memory
6  Install the mobo into the case.
7  Install video card.
8  Attach monitor to video card.
9  Plug in mouse and keyboard.
10 Attempt to boot the system to see if it gets to the BIOS setup screen
11 If it does, then I proceed to install the floppy and HD, CD's next.
12 Install the OS (Windows or Linux)
13 My next step is to install the audio card, but yours was onboard.
14 Install other cards, reading mobo manual to see which slots share IRQ's

That should do it. Are you getting anything on your monitor at all? If the
fans are not turning, then they are not getting power. Both the case and the
mobo should come with manuals showing where the various leads go. In reference
to the case, it is often a single sheet of paper and the english is usually
very convoluted to say the least. The mobo manuals are usually very detailed
these days. If you didn't receive either, then call your supplier and yell!
The case should have several small leads that plug into the mobo to allow the
start button, reset button and any LED displays to work. You need the
instruction sheet! Sometimes, if the leads have names stenciled on them so you
can infer with the help of the mobo manual where each should go.

Carefully read the mobo manual and follow their step by step instructions
regarding attaching power to the mobo. The fans, which you state have 4-plug
male AND female are to be daisy chained in this case to the matching plugs
from the PSU. Does the fan on your heatsink have a 4 plug connector or a small
2 or 3 pin connector? Sometimes you must connect this to the corresponding
connector on the mobo or you'll see the mobo light come on indicating it's
getting power, but it won't proceed to the boot stage without a lead connected
to the fan pins near the CPU on the mobo.

Sorry for the twisted explanation, but let me know how it goes.

Ooops, forgot the step to add video drivers. It comes right after installing
the OS.

And be VERY careful installing the CPU if install wrong will destroy
everything connected (Memory, CPU, Motherboard, Video card)

EVERYONE who helped (well, mark and richard especially, if not
completely...), THANKS!

i have 2 issues remaining that i won't bother to qualify, but here they are:
1 - there's a piece of "unknown" hardware that pops up as being discovered,
but every piece of hardware i installed came through perfectly and the
software all fits and everything ... so i have no idea what that unknown
thing is, so i disabled notification and i'm hoping to forget it exists =P
but it still shows up in my device manager ...

2 - for windows, i just borrowed a CD ... and i used the cd key it came with
to install, but i'm getting bugged to activate ... and i don't mind
admitting that i found out how to no longer be bothered by that, but i need
service pack 2 and ... well, you can guess where i'm at ...

oh, and i lied:

3 - i have a dual core processor, and it seems alright, but it isn't nearly
as nifty as i'd hoped it would be - it's an AMD 4200 and it slows down when
i turn on too many things ... i was hoping for an unslowable chip =( oh
well... i only mention this because i think i heard something about a
process required to take full advantage of a dual core chip, though i can't
recall if that was for a new-ish system or for an older system that's been
upgrade ... is there anything i need to do? and is it recommended to
overclock? will i notice a difference? i have great cooling in the system
and i installed the cpu temperature probe on the heatsink (is that bad? was
it supposed to touch the cpu? it seems to be close-ish if not "good enough"
and it reads 28 degress (C)...and is heat the only consideration with
oc'ing? ) ... so i'm not sure if it's worth it interms of risk / reward to
bother trying it

thanks again!