The memory has to be populated in a spacific order. If you hav 3 chips then all of the blue slots should be populated. Next I would remove each of the memory sticks and reseat them. Also remove and reseat the video card. Finally, Only attach to the MB the bare minimum, Power, Video Memory and NOTHing else. use the start button on the lower edge of the MB and see if it POSTS. Are you sure that there are no metal standoffs in the case that are NOT associated with a MB mounting hole.
If all esle fails, take the MB out of the case and try POSTING it outside of the case.
The LED you are referring to are the voltage regulator LED and the processor LED. They will light up red only if there is a particular problem in either power supply or cpu voltage.
This can be found on the documentation on page 35: http://download.intel.com/support/motherboards/desktop/dx58so/sb/e51290001us.pdf
I would recommend you to check that the power supply you are using is compatible with this motherboard and if it's powerful enough. A good basic power supply would be a 600W and also it should be an ATX 2.2 or ATX 2.3 (preferably).
If you are not using the recommended settings you may damage your system.
Also you may check that the memory you are using are also compatible: Site: http://www.intel.com/support/motherboards/desktop/dx58so/sb/cs-029865.htm
Note: Do not use memory modules which are above 1.6V.
Hope this will be helpful to you.
According to Corsair there is an unofficial statement from intel that you can use up to 1.65V and it is recommended that you use Corsair TR3X6G2000C8GTF Dominator GT 6GB
Make sure the CPU power supply is plugged in as well, not just the 24pin for the motherboard.
The memory will default to 1.5v so you shouldn't worry about that.
Make sure the power supply is working properly as well.
Why won't 4 2gb DDR3 1066mhz sicks of ram work, why does it have to be 3 ddr 3 sticks of ram to enable the motherboard to not freak out?
My DX58SO has 4-2gb DDR3 1066mhz (KINGSTON MEMORY) sticks and it appears to be working fine. I must admit that I added the last ram stick AFTER the system was loaded and had the newest BIOS. It had been up and running 3 weeks at that point. Make sure that you are using memory with the correct voltage. There are numerous warning about the memory voltage being correct.
Were you able to get a fix? I have the same issue.