Computer building problem

Hi, I decided to build my own PC recently and I already ran into a problem during the assembly. I connected everything and tried a test run with just the motherboard, memory, video card, and CPU installed. The problem is, when I plug it in and try to turn it on it wont. When I flip the PSU switch in the back to the on position when it is plugged in it makes a chirping sort of noise and the power LED will blink for a second but then nothing happens. Then when I turn the switch off in the back and pull the plug the chirp and blink will happen again a few seconds after everything is all unplugged. I have tried many different things including removing and reinstalling the CPU, reinstalling the memory, and clearing the CMOS. I'm a first time builder and really need help here. Any help would be appreciated. Could it possibly be the power supply thats bad? My system specs are:

MSI K8N NEO4-F nForce4 Athlon 64 Skt939 DDR ATX Motherboard
AMD Athlon 64 3500+ Processor (Venice) Socket 939
Mushkin 991145 1GB Kit DDR400 SP3200 Standard Performance Memory
ATI RADEON X700 PRO, (256 MB) Graphic's Card

sounds like the power supply is bad. I would get a power supply out of another PC that works, and test it in the one your building. if it works, get a new power supply. if it dosnt, then I'm not sure.

also, are all the power plugs pluged into on the motherboard? some boards have a 24 pin connection, instead of 20, and some have a 20 pin, plus a 4 pin. everything has to be connected right for it to work.

You need a native 24 pin psu/mobo connector. Just plugging a 20 into the bottom 20 of a 24 pin slot will cause instabillity and a number of other seemingly random problems...but it is the connection. An adapter will work...but the only reliable one is like $40 and the adapters will also cause problems with stabillity. Put that $40 towards a psu with a 24 pin connection.