New PC cannot boot

I just set up a new PC:

Motherboard: Intel DX38BT X38 Socket 775
CPU: intel Pentium Duo Core E2200
Memory: Corsair XMS3 2048MB PC10600 DDR3
Video card: ASUS EAH3850/G/HTDI/512M Radeon HD 3850
Hard disk: WD2500JB

It can not boot. When I push the power button, the BIOS have long beep and it never stop until you turn off the PC. The number and caps lock on the keyboard work. I tried to reinstall all the hardwares, but it still did not work. I tried put one memory once in all slots, the problem is the same. I checked the intel documents, they said it's "thermal warning". It's weird because the PC is cool when I tried to boot it.

Does anybody know what's wrong? Is the motherboard down or the memory or the CPU?

Thanks so much!