Righto, no POST beep's often results in CPU failure, possible motherboard, either way, don't put it on another motherboard unless your m8 is a real forgiving bloke and willing to sacrifice his system.

Burning smell could possibly be a PSU on it's way out, so I'd buy a 450 watt + true power psu. By all means buy a cheapo one, but dont complain if it doesn't do the job

Providing you bought the cpu from a good retailer, (unlike Eagle and his P4 saga from E-bay ) send it back and get a replacement, I would also buy a fan designed for a cpu of a higher spec

In the event of the replacement CPU not working, then it'll probably be new cpu + motherboard