Start with just the mobo and power it up. If that does not produce some kind of beeping complaint, the board and/or the CPU are done. (Did you replace the thermal grease/pad before replacing the heatsink? If not, you can try that and see if it brings the CPU back, but it may be too late.)

If you got beeps: add the video card. Continue by adding the RAM back in, one stick at a time. Test all the slots. After that, add any remaining boards, one at a time.

Lastly, reconnect the drives, also one at a time.