Troubleshooting new computer: shuts down instantly
This could happen if your processor fan is misaligned, or if your ram is not plugged in well or you have a faulty power supply. I would like to suggest a few steps:
Confirm that you have plan the fan above the processor correctly, the processor could be overheating due to misalignment, this is a very common mistake with folks who have just begun assembling computers.
Check whether you have plugged in your ram correctly, try pulling it out without letting the side notches loose
Start-up the computer with bare bones to find out where the trouble lies, do not plug in anything not necessary initially, i.e. just check if you are getting display. Keep only your power supply [obviously! ;) ], motherboard, processor and processor fan, monitor cable (VGA, DVI, HDMI whatever you are using) and ram connected to the board. Also if you have a graphics card DO NOT connect it initially, unless you don't have an onboard connector. If you have to use a graphics card, check if its plugged in securely.
If your computer doesn't act up the way it does after the 3rd step, then try to plug in your hard-disk and check what happens.
Kindly write back what happens after these initial checks, so that we know that the hardware has been placed correctly on the board. If you still face any problems after these steps we can take it further from there.
The main problem with people new to hardware is that there is a huge possibility that parts are not been plugged in well to the motherboard, not doubting your computer assembling skills here but its best to be sure first, than sorry later.
Some further reading for common reasons on why a computer could possibly keep restarting/rebooting itself.
Motherboards have a feature called P.O.S.T., or Power On Self Test. If something isn't hooked up or plugged in right, this is how it tries to tell you. Depending on the motherboard, it'll use a series of beeps or a couple of leds.
Use this guide to diagnose the problem.