Only about 12 hours ago I assembled my computer from all new parts and finally gathered up the courage to plug it in and turn it on. It works, but sounds like a harrier jump-jet. I can hear it loud and clear when i'm in the neighbouring room with both the doors closed, and I can't even hear the modem as it dials-in (yes, speaker is on). I did a bit of searching about noisy case fans but it only resulted in fans that were noisy because of their age. I have one CPU fan (came with the 3.0E pentium 4 processor) and a PSU fan (installed in 350W PSU), I don't have any case fans (yet). The fans make just as much noise with the case covering off as with it on.
What could cause the fans to make so much noise? or are they meant to be this loud?

maybe theyre supposed to make noise
i would do a search for websites that sell it and read the customer reviews

also,
i recieved a pentium 4 (3.0 ghz) for the holidays and it too sounds like a boeing 747 at startup
it is possible to hear it 3 rooms away, but this is only during startup and very large processing jobs

in my opinion, it is in your fan settings, but i am very sorry i dont have much experience in fans, that is all i can tell you

Your computer should have a minimal of two fans, one in the power supply and one on the CPU. I would try to narrow it down to which of these is the noisy culprit. In the worst case you can use a semi rigid utensil, like the eraser head of a normal pencil, to momentarily stop each of the fans and see if that makes the noise stop. DO NOT use your finger, do not stop them abruptly by jamming something in there to halt the fan immediatly (instead slowly use the pencil eraser head to add resistance until the fan stops), do not halt either fan for extended periods of time as this could cause damage, especially do not stop the CPU fan for more than a few seconds!

It's also possible that you have other noisy devices. A good culprit is the CD-ROM drive, many faster ones without good internal dampening will make an extremly loud noise when a CD is inserted. You could also have a wire, or other object, obstructing one of the fans, check for clearance of cabling, tie-downs, case structure and any other objects near any moving parts like the fans.

Poorly secured components could be another source of noise. Make sure the drives have as many screws in them as possible. Make sure all other removable components have as many screws as possible in them, the power supply, motherboard, any removable bays such as a drive rack or motherboard rack. Make sure the CPU fan is firmly attached to the CPU using as much of the bracketry as possible. Check that the case and front bezel and any other removable access parts are all tight as well. If all that fails to help, you can pull the power supply from the case and double check that all the screws it is assembled with are secure.

If it's just something lose, you can tighten or add extra screws to hopefully fix it, if one of the fans is the obvious culprit you should be able to return it as defective. If they balk at replacing it, tell the store you are worried the fan has defective bearings. If the system is still noisy you could try using light pressure at certain points of the case to narrow it down and apply something to dampen the sound such as duct tape or electrical tape between metal objects that vibrate against each other, or non metallic washers (like the ones that are used for motherboard mounting) on any noisy screws.