Installed a new processor. When booting up, it freezes on the bios boot screen. Is this processor DOA? Or what else could my problem be?

I got a new processor, I’m trying to upgrade from a dual-core (at 1.66) to a quad-core (at 2.66), and yes, I got the sockets correct.

After having my computer off all night, I got up and removed my old processor, and put in the new one. It got to the BIOS boot screen (The one that says, you know, “Press DEL to enter setup”) and it just froze. I waited about a minute, nothing happened. I pressed DEL to enter setup, but it didn’t do anything.
Which I then interpreted as it having frozen (as opposed to just being slow).

After getting that twice, my immediate reaction was, “Did I fuck up my entire computer in the installation process?”

So, I took out the new CPU, put back the old one, and clearly it’s running just fine now.

I don’t think this could be a problem that I caused, given that the only thing that fails to work is the new CPU, and I never touched the face of it.

Any ideas on what the cause of the issue could be?
My first guess was that the processor was just DOA.
But my second guess is that perhaps my PSU doesn’t have the wattage to support it (Which I don’t think is likely, but I admit to not knowing very much about power supplies. ...or really, anything).
I’m sure other jellies could think up other causes of this.