I guess you mean you don't have another CPU to test with. I keep a $35 CPU around for just this kind of situation (AM2 sempron). If you work on PC's enough, you may want to get one.
I don't often hear of a DOA processor, but it happens.
Did you try to boot the motherboard with it out of the case?
Does the website say it supports that particular CPU? And have you checked the bIOS version?
If its a BIOS issue, you'd need another CPU to test that and flash upgrade. Do you have a friend who could loan you one?
Also double check the wiring for the front panel. I've had a machine do exactly this and it was a reset or something that was wired according to the manual, but the manual was wrong. Did some easter-egging and finally got it to boot.