HI RAVEN,
O.K., so you have fand running, seeming to indicate that +12V is O.K.; LED lights light (on keyboard too?) light so maybe +5V is O.K.
Troubleshooting a system that has never worked yet, and as I understand it, is the case here, is rougher than troubleshooting a system that suddenly failed. While the power supply seems to have some life in it, it is still suspect until proven innocent. The CPU could be bad, and the motherboard could be bad. The real scary thought is that two or more could be bad at the same time!
If you bought the components from a local source, I would definitely take them in for testing. I bought one motherboard/CPU from a local dealer, and try as I might, could not get it to work. Took it in to have it tested. They did not want to wast the tims, saying, "We have had a lot of trouble with these motherboards, here's another." It was also bad. Took it back again, and they started to just give me another. I asked them to let me have two, hoping that at least one would be O.K., but they were both bad. Took them back and demanded refund. I hope your source is better than that, but it would save some time to have them show you it works on their test bench.
As far as beeps go, you should have beeps in case of error even if video was bad or monitor was dead, assuming the speaker is connected properly and that section of the motherboard is O.K.
One other thing you could check would be to leave the system on for a few minutes, then power down and feel of the CPU heatsink. It should be quite warm to the touch, even if the fan is working. If it is cool, then either the power supply +3.3V on power supply pins 1, 2, and 11 is bad, the motherboard CPU supply circuitry is defective, or the CPU is dead.
Other power pins are +5V at pins 4,6,19,20; +12V at pin 10, -12V at pin 12; -5V at pin 18. Pin 9 should be +5 when the power supply is plugged in, even if the system power is down. Power O.K. signal is at pin 8.
I wish you luck and hope I have helped.
GrandpaCarl