New Server Won't Boot

I'm trying to put together a new 1U rackmount server that I'm intending to colocate (my first server of my own). Here are the details:

11-152-087 CHASSIS SUPERMICRO|CSE-512L-260B R
13-182-120 SERVER_MB SUPERMICRO|MBD-PDSML-LN2+
22-144-417 HD 250G|WD 7K 8M SATA2 WD2500JS
19-115-029 CPU INTEL|C2D E6750 2.66G 65N 4M R
20-134-337 MEM 1Gx2|KST KVR667D2E5K2/2G R

The stock CPU fan is obviously too big to sit in a 1U rackmount chassis, but I've got the top off and was just trying to boot up with the OEM fan to make certain everything worked (forgot to order a low-profile fan and heatsink--they're on the way).

Well, I put everything together, and it won't boot. Upon power up, there is nothing sent to the VGA port, and after a second or two, there is a hi-low alarm sound that does not stop that seems to imply the system is overheating (the MB and chassis manuals don't mention this alarm anywhere, but the read "temperature" light on the front is red). The CPU fan runs as well as the case fan, and even if I hold a huge high-velocity home fan over it, it still won't send any signal to the VGA monitor or POST.

I've checked that the power connections are good, the fans are seated properly, the memory contact is good, etc., and all I get is this hi-low chime every time I try to boot up. I think it's either a bad MB or CPU, since I can't imagine that the CPU is overheating with the heat sink and CPU fan.

Perhaps I've screwed something up, but the next issue I have is trying to figure out what could be causing the problem so I know what to return or replace. Is it the CPU? MB? RAM? Power unit? How can I test any of these without buying another set and possibly frying those?

I figured maybe some of you might have some ideas. I've built several computers over the years, but this one has me completely stymied.