Video Card Trouble

It's a long story of misery and woe, but here it goes. I recently built a desktop PC with parts from Newegg. Got them in and put the box together and everything worked fine except the video card. When I attempt to boot up through the video card, the screen gives no signal. I have tried multiple monitors, both VGA and DVI cords, I also tested the video card in another computer, the 6 pin power connection is hooked up, none seemed to be the problem. The onboard video works fine through VGA connection. So I attempted to play with it using onboard video. I have tried to go into BIOS and set PCI E to the Primary Graphics Adapter and installing the drivers from the given CD (this gives an error of "There is no XFX device detected please..."). So I go into Device Manager and see that the only Display Adapter showing up is the onboard video. So the only other thing that I can think of would be the PCI express slot on the motherboard is faulty. However, I sent the motherboard back to Newegg once because of possible malfunctions with it, turned out to be the CPU instead. So I'm not sure if they sent me back the same motherboard or not, I wouldn't think so. I also made sure that the motherboard was compatible with the video card and they are. So I'm completely and utterly lost. Please help. Thanks.

Hardware:
Video Card: ATI Radeon HD 4850 (PCI Express 2.0 support)
Motherboard: MSI 880GM-E41 (1x PCI Express 2.0 x16 slots)