Yes it should work without a problem the 800 MHZ is actually 2 streams from 400 MHZ RAM to give you the 800 MHZ FSB the 533 is slightly different and should also be supported on that M'Board.
If you have everything installed I would check the RAM and as you haven't mentioned the chip set type of the M'Board it may require ECC RAM and not the cheaper stuff that is available. If that's the case you will not see anything until the correct RAM is installed.
I tend to run these things out of a case when I first put them together just to make sure that they are actually working correctly. It saves time in the long run and you only need to short out the Start pins with a screwdriver or something similar for a short time to see if it's going to work.
As Chas has said some M'Boards come with the CMOS Clear jumper set to Clear and that needs to be changed before anything will work this is in the manual that comes with the M'Board and you really should read it because it's important and you may be required to alter some jumper settings depending on the make and model. If you didn't get a printed manual there should be a PDF version on the CD that comes with the M'Board Intel is great for doing this as it saves them some money in not providing a printed manual. If that's the case you'll need to open the PDF file on another computer and print off the necessary pages these should just be the setup pages an designation of the different jumper settings you don't need the entire manual as they tend to be a bit long and can take a lot of paper to print.
If this isn't an Intel Chip Set M'Board it's also possible that you have a Conflict between the Video Chip Set and the M'Board Chip Set which will also produce the same problem.
