A common problem actually, with all types of solutions.
First of all, make sure that the BIOS (CMOS) has been cleared.
Make sure all jumper settings are correct for your CPU speed etc.
Make sure that your PSU is big enough for your rig (300W minimum these days).
Take out items one by one until it works.
I've found these faulty items can cause the issue:
CD-ROM
HDD
FLOPPY
MEMORY
CPU
MAINBOARD
MEMORY
GFX CARD
and the biggest problems:
PCI modems.
^ yes thats nearly everything!
Strip your system down to:
mainboard
cpu, heatsink, fan
1 memory stick
gfx card.
and see if that works.
Then start removing the gfx and memory. Test the power after removing each one. The fan should still spin without these (if one of these are faulty), but you will get excessive beeps.
GOOD LUCK!