Pi is not boot like a PC. No BIOS. So, if there is no SD attached or OS, Pi not working at all.
Then, I made sure I was not buying wrong SD card. There is a list of compatible/incompatible SD card. Please check this site. http://elinux.org/RPi_VerifiedPeripherals#SD_cards
I have a small knowledge on Linux. So, I have to depend on tutorial. For the setup, I follow the MagPi #2. http://www.themagpi.com/ . In the #2 issue, there is a good tutorial to follow. But, maybe it is not perfect for me. You may face some difficulty. I chose to flash using Windows.
To flash the OS image to SD, I used Win32 disk imager. I connected SD card to my laptop’s SD slot. But, Win32 disk manager always hang, not respond and got so many error while flashing. The transfer rate was between 4.5 to 5MB/s.
I tried to connect SD card to SD card reader that can attach to USB. Finally, it can flash SD without any problem. Transfer rate between 3.8 to 4MB/s. Speed problem????
Then, I attached Pi with CRT TV, keyboard, mouse, SD card and powered with Blackberry charger.
Below, is the video at the first boot. Second boot actually. Hhehehe.
http://www.youtube.com/watch?v=YXDzHDjt3GM
Tips:
Maybe you want to clear up your SD card from OS image. You unable to delete SD partition using Windows Disk Management. How about you try Mini Tool Partition Wizard (Home Edition). It can delete partition that can not deleted by Windows.