PSU Woes

First time builder here and I have a question concerning a power supply I bought. Is it normal for the unit to not work unless connected to a motherboard? When entirely disconnected to all devices, plugged in, and set to the correct voltage it does not seem to power on at all; no heat is given and there is no noise. Am I missing something? Does it need to be connected to a motherboard or do PSU's take a while to kick in or is this bloody thing just DOA?

It's true that they are easy to hotwire on without a motherboard, though (connect green wire pin to one of the grounds).  I have a little bent paperclip I use whenever I want to test a PSU or run a few extra devices.  I've heard it can damage the PSU to run it without anything at all drawing power, though.