Yep, that's the problem.
A 6 series board (like the H61 you have) won't work with an Ivy Bridge CPU (like the 3450) without a BIOS update. Unfortunately, the only way to do that is with a Sandy Bridge CPU installed.
You have two options. You can just return the board and get a 7 series board (ie. H77, Z75, Z77, B75, etc.), or you can buy a cheap Sandy Bridge Celeron like a Celeron G440 to be able to flash the BIOS of the current board.