Suggest for the first few steps that the PCI40037 not be mounted to the chassis.

1: Connect a SATA cable from the motherboard to J6 (the yellow connection) on the PCI40037

2: Connect the supplied power cable to the PCI40037

3: Power on the computer and allow the OS to install the drivers for the card. No hard drives need to be attached yet.

4: Power off the computer.

5: Ensure that the dip switches on the back of the PCI40037 are set at CLEAR RAID: OFF OFF OFF ON. This will ensure that if any RAID configuration is saved in the chip from testing at the factory, it is cleared. Plug the desired HDDs into the PCI40037.

6: Power on the computer, and enter BIOS. We're only here so that the machine has power, so don't worry about changing anything.

7: While the computer (and controller card) have power, you should now notice just the center (J1) red LED on.

8: Unplug just the power cable from the PCI40037.

9: Set the dip switches to the desired RAID level.

10: Plug the power cable back into the PCI40037 and wait a few seconds. You might notice blue LEDs blink for each drive, but in the end just a solid red LED will stay lit for each attached drive.

11: Unplug power one more time from the PCI40037

12: THIS IS THE IMPORTANT ONE: Set the dip switches to NO ACTION: just ensure the last switch is OFF, the first three wont matter in this case. 

13: Reboot the computer and mount your new RAID drive(s) in the OS

14: Now that everything is working and you should no longer need to play with power connections or dip switches, mount the bracket to the chassis. 

See each time the PCI40037 powers on, it reads the status of the switches and attempts to create that situation. If RAID5 already exists, but it is supposed to create RAID5, it often just causes drive timeouts instead. Once you have created the array (which is done via the dip switches, and not via BIOS or a boot utility) you do not need to create it again. The card knows it must operate in RAID5 mode, and does as such. Leave it as NO ACTION and the card performs flawlessly. 

Each SATA connection has a red LED and a blue LED:

The flashing blue LED means the drive is being accessed.
The solid red LED means that the drive is connected, or is powered.
The flashing red LED means the drive is faulty and needs replaced.

For SATA settings in BIOS:
Since the SYBA card itself handles the RAID, you should set your SATA settings to AHCI when possible. There is no need to designate them as RAID or IDE (unless you are using an IDE drive on the shared host controller)