Oh god...those old Dell power supplies. "Let's change the pinout so much that it could BLOW THINGS UP if you hook it up to a standard motherboard, but we'll keep the connector the same, and the new pinout isn't any better than the standard one". Idiots. At least they don't do that, anymore.
If you don't have much hooked up to the supply, be aware that PC supplies require a minimal load to start up. I usually just hook up a hard drive. A really tiny load like a few LEDs is often not enough for them to safely run, so they just shut down.
Also, you want the gray PS_ON line, not the orange power good line.