Motherboard, PSU or CPU are likely culprits.
If there is some kind of PSU issue, or a short circuit detected at power on, it will shut down to prevent further damage.
Start by disconnecting PSU connections to all components except the motherboard (hard drive, DVD drive, graphics card, etc)
Then power on - see if it does more.
If it does, then the issue may be one of the unplugged components, or it could be one of the PSU outputs (they are various voltages, polarities, etc)
plug each component back in and power on, one component at a time until it breaks again.
If nothing more happens with everything disconnected, then remove and re-seat the CPU and try again.
Rob