Either you have purchased a bad video card or the bios is not configured correctly to start it up or you have not powered it up on its on power supply plug.

The first thing I would do is completely remove the graphics card and then reseat it and make sure that it locks down properly. You have an SLI motherboard so the proper slot would be the PCIe slot closest to the CPU.

There should be a 4 prong power connector ( similar to that on a harddrive)located on that card and it requires its own power source from the PSU.

Reconnect the monitor plug!

Reboot the computer and enter the set-up (bios) by pressing the appropriate key(usually DEL or F2) refer to manual that came with motherboard...make sure that the video is set to non SLI (unless you have both graphics cards)
make sure that the Video is set to PCIe and not the onboard video(if present)
again refer to the manual concerning the propper video settings of the bios.
I would make sure that the BIOS is set to "Default Settings" then check the video settings. By the way if that orange monitor light turns green then you have done well!

VERY IMPORTANT****************************
Do not try to overclock anything till you have everything up and running and the operating system installed and updated...Overclocking is the very last thing that is done to a system build.

Don't worry about the CD/DVD drives not seeming to work properly...this is normal until the BIOS says it should power up the complete system