Newly Built Computer Won't Stay On

I just built a new computer, and when I turn it on, it turns off in about 4
seconds. I hear a longish beep, and all 4 fans in the system are turning
before the whole thing shuts down. There is no time for anything to show up
on the monitor. The system is as follows:

CASE - COOMAS|CAC-T05-UB BLK/BL RT
PSU - SUNBEAM|SUNNU450-US-BK 450W RT
MB - ASUS M2N-MX GF6100 AM2
CPU - AMD|A64 X2 3800+ AM2 2x512K R
MEM - 1G|OCZ DII800 OCZ2P800LP1G R
HD - 120G|WD 7K 8M SATA2 WD1200JS

The Power supply has this temp monitor fan controller thing, and it shows a
temp of about 25 C, before the computer shuts down. I've tried starting
with the knob at high, low, and auto, with the same results, that is shut
down in about 4 seconds.

I tried to boot before I installed the drives, and got the same results.

Any help will be greatly appreciated.

Thanks,

Jack