Hmm, you do have an issue there. If i'd done it blindfolded, I would tell you exactly how many arrow keys to press (though all bios's are different) and I might break your computer entirely...
The only thing I could suggest is taking out the PCI port one and make sure that the VGA cable is being plugged into the right socket for the onboard (though i'm sure your doing that). This prooves a problem...
The only thing I could suggest and I'm not trying to be mean after you've built it is to unbuild everythnig and get that motherboard sent back as quickly as possible to be replaced. This would surely fix your issue in the short run and get you up and started quickly. It does seem by chance you have got a bad onboard video card though which has caused some issues.
If though you can get hold of a AGP graphics card for the time being, this might infact over do the onboard one in inportance as this is used mostly for high powered graphics cards.
PCI wouldn't be seen over the onboard graphics since the PCI ports can hold anything non-graphic related also.
so if a mate has one, plug it up (i hope you have an AGP slot. I'm sure you do) and hopefully the monitor would now work after putting the cable at the back of this one instead.
If this doesn't work, or you can't get hold of one, (and really, its faulty and so you should. but the above soloution will be a quick fix) replace it
I hope this helps