new system - no boot

Just installed
ASUS M4N78 Pro GeForce 8300 Socket AM2+ Motherboard
AMD Athlon 64 X2 6000+ Socket AM2 CPU
320 GB Seagate Hard drive
Kingston HyperX 4096MB PC6400 DDR2 800MHz (2x2048)
I went to fire it up for the first time and all I get is the message:
[Reboot and select proper boot device or insert boot media in selected boot device and press a key]
What am I doing wrong?:confused

 

320 GB Seagate Hard drive ??? what type is it a SATA or a PATA if its a SATA make sure you have connected the data lead to the appropriate No1 slot on mobo, if its a PATA (Eide) set Jumper to MASTER and data ribbon is connected to No1 (usually blue) on motherboard. Which ever hard Drive it is configure your bios settings accordingly it sounds like you have first boot to CD/Rom and you hard drive settings are incorrect.