New motherboard!

I bought my self a new socket 478 mother board. I have it all installed, except I have some problems. When I have the 12v 4 pin power connector plugged in, the computer makes some ugly nosies and then turns off. If I don’t have it plugged in, everything starts whirling and turning but nothing comes on the screen.

I have a p4 2.53ghz processor.
The chipset is Intel 845PE.
ATX power supply

I was wondering if any one could help with my problem, or tell me what exactly is the 12v 4 pin connector for as I know it has something to do with the processor.