Hi Curtis. Welcome to the Zone!
Yes, the motors should all lock up with power on.Also are the motors supposed to (lock-up) with the power on? I'm using Mach 3 and have followed the instructions to the "T".
A couple questions:
Have you tried using the 5V "wall wart" that came with the kit?
Do you have the En terminal powered with 5V or wired to E stop switch?
It looks to me like you have the 36V power wires "daisy chained" from one driver to another. This is a NO NO and each driver should have 2 power wires running directly from Power Supply.
Here's some info that might be helpful:
http://www.cnczone.com/forums/showthread.php?t=76865.#3 (What is between....)