Monitor or CPU?

Hi

I have a problem with my CPU or Monitor, don’t really know!!

When switching on my pc, the monitor does not come on, actually the screen shows a grey background (switched on – green light!) and the fan is making a loud noise (it is turning though).

When i try to boot up with the keyboard plugged out, then it goes on and complains about keyboard missing, or no keyboard…
F1 to continue, delete to enter setup.

Connecting the keyboard, and taking Delete option, goes into the setup menu. But when I exit it, back to a grey screen. What could be the problem?

Thanks.