ASRock Fm2A58M-VGA3+ R2.0 Wont Turn on.

I know it sounds bad but yes 

The power switch from the case needs to be connected to the motherboard. On your particular board the connector you need is on the bottom left corner of the board if you look at the board with the IO panel at the top.

I have highlighted in red where the power switch is connected for you. If you do not have a case or just want to see if the system will power on you can short those 2 pins with a metal object, I usually use a screwdriver. 

I hope this helps solve your problems 

First builds can be tricky but you will feel great once you get it all up and running 

 

You're telling me that the psu acts more like a power strip, and to turn the device on, I have to use a separate switch entirely, a switch, that is usually supplied with a case purchased from any retailers, so in order to get the computer to post, I'll needs second switch in the same way I would if I had a tv plugged into a power strip?

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It is an easy thing to overlook if you are a new builder. Venturing into the world of system building for the first time can be daunting and in all likelihood you will make a few mistakes but each one you make will teach you something. Don't be discouraged and take each new thing you learn as a win.

Old PCs (pre Pentium 2) used to be AT form factor and would be turned on directly from the PSU or at least a switch connected to the PSU. This system was abandoned because it shunts a spike of power into the system every time you turn the power supply on. Around the time Pentiums gave way to Pentium II the ATX system currently in use was implemented commercially. ATX systems constantly have a small amount of power running through the system and are "powered up" by a switch that must be connected to the motherboard, this means less power spiking and better component longevity. 

If you look at the post where I posted the picture of the front panel header (the block of pins in the image) it should tell you all you need to know to power on the system and test it. For a first build I strongly recommend that you use a standard case rather than use a more creative medium. Once you have it all worked out in a normal case you can then build your Lego case and use the standard case for reference as to how many fan holes, vents and other essential cooling features you need to implement. 

Here is fairly comprehensive video tutorial on system building that should help you get a better understanding of not only how to put a PC together but also why it needs to be done this way.

If you do go ahead with building a  Lego case at some point I would love to see your progress on the build