Well this is one heck of an introduction but I'm at the end here.
After browsing this foruming reading 20 pages of thread on each of the sub-forum I decided to purchase an 2 EX485 w/ 3x 1.5TB seagate drives and also an E5200 for CPU upgrade.
After setting it up and playing around with it, updating to HP's2.5, MS's PP2, I decided to follow http://www.mediasmarthome.com/forum/thread/11977/HP-EX-485-CPU-upgrade-sucessful as a guide to upgrading my EX485.

After swapping the CPU and putting it in, server would not boot, so I swapped back to the Celeron, server came back to life just fine.

Now is where it gets interesting, thinking I must have did something wrong during the swap to the E5200, I did it again, E5200 goes in, no boot, all 3 lights at the bottom come on but no HD light.

So finally, I gave up for the night and decided to put the Celeron back in, but this time, after buttoning everything up, the server power on briefly BY ITSELF right as I plug in the power cable,
left light (Aqua) and right White) came on.
This is where I'm stuck at today after various swaps, taking things out and in numerous time. While touching all component, I was grounded to my metal desk with a wrist strap so the chances of an ESD happened is low.

The MSS would just turns on briefly as I plug in the power cable, afterward, the power button is totally unresponsive. I've tried taking out all drives, powering up with just the system drive etc, still same system.

I called HP but their hands are tied as it's 2 days old and they can't swap. RMA back to newegg would take over a week (newegg would not do refund). I'm hoping anyone here would have other things for me to try?

After some more trouble shooting, it's been decided that the PSU is the culprit, have anyone had their PSU died out so quickly?

When I did my Frist attempt at upgrading my CPU the same thing happen, I was lucky enough to have HP send me out a new case.

I will say this before you try to upgrade your CPU again go in to the BIOS and look at the cpu setting you may need to make change before it will let your new cpu work. I know that was the case for me

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MSS 487, 2.25TB on 3WD drives, Intel E5400 C2D 2.7 4Gig DDR2
Windows server 2008 w/Exchange 2010

Ubforunately I don't have a VGA cable. 100 doll cable seems steep in comparison to the server cost

This is a shot in the dark suggestion: any chance when you slid the chassis into the MSS housing, the power button got pinched in the hole in the housing such that it's causing it to turn on as soon as you plug in?

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HP MSS EX490 with Intel E6300
4 GB RAM
7 TB Drive Storage

MediaSmartServer.net Wiki, it's loaded with helpful information about WHS and the HP MediaSmart Server.

I don't think so because when I plugged it in outside of the chasis, it still does the samething.

Call HP back and have them send you a replacement case, they come with the power supplies. On another note the $80 for the video cable is well worth it, all you need is the vga conn, you can use a usb keyboard and usb mouse. But get the cable and then you can see whats going on.
JMO

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EX485, 4gb ram
Intel® Pentium® Processor E5200 (2M Cache, 2.50 GHz, 800 MHz FSB)
4 1Tb drives
WHS 2011 64bit

err...I hate to be a real stickler here but the price for the VGA cable is not $100 nor is it $80. The price is $60 as outlined here.