This really does sound like the motherboard is shorting out. Perhaps you dropped a screw behind the board? Do not play with the red thing on the back of the power supply, that is for different voltage settings if you live in a different area and you can damage the computer by putting the wrong settings.
Did you put the CPU in the socket correctly? You should line up the gold arrows and insert it without force. Are all the components properly in place on the board, nothing is loose? Make sure all the power supply cables are connected to the motherboard that need to be.