Pretty rare that you have a dead CPU.. I ran into the same issue before when upgrading my CPU. I had an old Asus board. Took a quick BIOS update for it to work... Do that first before returning the CPU.
I've tried installing the latest bios update via their EZ flash program through bios. It wouldnt take. I also tried the they made for windows. That's not compatible with win7 64. I did all of this while on the phone with Asus techs. They recommend and RMA... Yeah right. I'm not taking it apart for this. Arrgggh.