[SOLVED] So I'm screwed then? New Build, flashing light then immediately off

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Not sure I can explain it clearer than already described. Your CPU version (R0) is only compatible with that motherboard if the proper BIOS version (F7 or newer) is installed on it. Nothing to be confused about.

If the motherboard has that version (or newer), then you could have a DOA motherboard. The CPU is likely okay (they don't often fail).