There could be 2 causes
1: Your power supply has in fact commited suicide
2: There is a problem on your motherboard or additional components that the power supply is detecting and shutting down to prevent more serious component damage.
First thing I'd do is
1: Make sure your main power lead is disconnected before you do anything, just incase your board has some power so you dont damage things when you start step 2.
2: Remove all data and power cables from your hard drives/(cd/dvd)roms and floppy drives.
3: Replace the main power lead, power up, and try to see if your system starts
If you get the same result then its probably the power supply.
Another thing to try would be to power the motherboard from another power supply and see if the result is the same.
Now you could test your power supply on another motherboard? If you have one available of course...
You should try to return the case to your retailer, if you think the power supply is faulty, who _MAY_ replace the unit, since you built it yourself you may not have a warrenty for it
If you need to buy a new power supply, sometimes its cheaper to buy the new case. Go for the cheaper of the 2 (ie new power supply vs new case)
If ya need more info PM me.