Easies way to test:
Install linux on a flash drive and boot from that. If it still doesn't work,
Also, check your connections for the power button and make sure all the power connecters are secure.
Otherwise, what model CPU are you using? make sure it's an 1155 socket.
If your CPU is cooked, the MB won't POST and it would be very unlikely that you get to the point of seeing anything on the screen let alone an Insert Boot Media error on the screen.
I agree with mejim that either your HD is having issues, or you have not set the HD as the correct boot device in the BIOS, or you haven't installed an OS on it yet?