CPU problem! I think...

I've been having this weird problem since I built this PC. It's P3 3.0Ghz, 1gb kingston hyperx pc3500, aiw r9700 pro, abit ic7 and WinXP Pro SP1. Anyways, whenever I try to turn the PC on it will either go on for half a sec, then shut down, or I will get this message "CPU unworkable or has been changed." If I press F1 to continue it will work fine. Sometimes if I just keep trying in a few tries it will load without any error. Is it something wrong with my CPU!? It's a retail I got from newegg, as a matter of fact my whole PC is from newegg. BTW how does an Intel thermal pad looks like? Because when I got my CPU and I look at the bottom of the HSF, it just looks like it's copper, or aluminum, you know, that metalic orangy color. I assumed since it doesn't come with thermal grease so it must have the pad on. Then the guy at the PC store told me it's too hot so he put some grease on the CPU. Hope this helps, this is getting very annoying and I'm worried about my new PC! Please help!

But it's a new Antec TruePower 430W

Cool, so I'm fine since I have thermal grease on the heatsink, and the temperature is fine(although it seemed a bit high, but I believe it was due to Abit's mobo), my PC ain't gonna break any time soon?