That looks like a fan speed switch on the power supply. Here is a set of instructions on what to do with problem builds. Note it would help if you provided exact specs on your system and links to the parts; it makes troubleshooting a little easier.
What to do with a "Problem Build"
First are you getting the board to post [power on self test] If yes follow the first set of instructions
Board posts however there are lockups, bsod, cannot install windows
1) Since it posts, check your temps in the bios. It is very difficult to say what a "Normal" temp should be since each type of cpu [P4, Athlon, AMD64, etc] has a normal temp. What you should see in the bios is a stable temp of <55C. If the temp is much higher than that, you probably have the heatsink fan installed incorrectly.
2) If the temps are ok, pull all cards from the system except the video card. Disconnect any peripherals such as printer, scanner, usb hub, etc. Is it stable now? If so you have a problem with a piece of hardware or its driver.
3) Test the memory with a tester like memtest86. Just because you see a memory test during post means nothing. All that does is check to see if the memory is there. It does not check each memory address. Note this test is run from bootable media ie CD or floppy; there is no need for an operating system to be installed.
4) Power supply. A modern P4 or AMD64 needs a quality power supply. It is difficult to say what wattage you will need since this is dependant on many things; the number of fans, the number of hard drives you have installed, the type of video card you have installed, amount of ram, etc. A bare minimum would be in the neighborhood of 350W. The power supplies that come with many cases [however not all] are junk. Since modern systems make a very high demand on the 12V rail of the power supply, what you are looking for is something around 20+ amps on the 12V rail. Some good brands of power supplies are Antec, Enermax, Enlight, Sparkle, and some models of Coolmax. There are other quality units, however those are what I use in my builds.
You assembled the system, and it will not post
1) Remove EVERYTHING from the case
2) Set the motherboard on a non conductive surface. The motherboard box is perfect for this. .DO NOT PLACE THE MOTHERBOARD ON THE STATIC BAG! The outside of some of these can actually conduct electricity! We are going to try and assemble a running system outside of the case.
3) Install the CPU and heat sink.
4) Install the RAM (only install 1 stick for SDRAM, 2 for RDRAM)
5) Install the video card. Do make sure the card is FULLY seated.
6) Connect the monitor to the video card.
7) Connect the power supply to the motherboard. Do make sure you plug in the extra power connector [if used]
8) Connect power to the power supply
9) Do NOT connect ANYTHING else. Make sure you have the power connector on the CPU fan connected.
10) Use a small screwdriver to momentarily short the power switch connector on the motherboard.
If all is well, it should power up and you should get a display. You now have found you have a mounting problem. The board is shorting to the case. If not, then you most likely have a faulty component. You will need to swap parts with known good units ie power supply, cpu, ram, video card.
How to mount a new board in a case
1) Remove the IO plate from the back of the case.
2) Place the board in the case and use something like a sharpie or a pencil to mark the case where you will need to install the standoffs.
3) Remove the board and install the standoffs.
4) Install the IO plate
5) Place the board on the standoffs and slide it into the IO plate. Secure it with the screws provided with the case.
Just a reminder do not buy cheap parts!!!
I have one rule.
Quality hardware and properly installed software do not lockup, bsod, reboot itself, etc