OK there are a few options you have to help save your self some money.
1. if you know someone with a 6xxx series or older CPU that is compatible with your board you can ask them to borrow it to update the BIOS on your Z170 board.
2. You can purchase the cheapest CPU you can find that is compatible with that board and install it to update the BIOS to allow the 7xxx series to be compatible and then sell the cheap CPU to recoup some of the money
3. Send the board back to manufacture, for a price, and have them flash the BIOS chip to the newest BIOS for you. You may find that option 2 is cheaper than this.
or finally 4. purchase a a Z270 motherboard. This is the most expensive option.
I would recommend borrowing a friends CPU to flash the BIOS but if this is not an option Buy an i3 or Pentium CPU the lowest that is compatible with your motherboard, flash the BIOS and put the i5 7500 in and sell the i3 for as much as you can get for it. this will be the cheapest way of updating the BIOS to be compatible with the 7xxx series CPU's.
EDIT: WHat BIOS version is installed on the Z170 board? if it has already been flashed to teh newest BIOS or BIOS compatible with the 7xxx series then there is no need to update them.