what damage have I done?

Hopefully, not much, or even none.
You may be unlucky and got a faulty motherboard. If after checking the following it still don't work, or are geting error massages, like excessive overclocking on a first boot, you probably need to change the motherboard.

Any damage should have been limited to the CPU. You replaced the CPU, so there should be NO damage.
A current computer should shut down if the CPU overheat to much, preventing most damage to the CPU and other components. The CPU itself have failsafe mechanism destined to prevent it from overheating. The motherboard have some more.

Double check ALL connections.
Double check that the CPU is inserted correctly in the socket with the correct orientation.
Apply a SMALL amount of thermal compound and carefully install the heat sink. Connect the CPU fan.

Make sure that the RAM is correctly inserted.
Make sure that the connectors to the front pannel are connected on the correct pins.

Connect your speakers and video card. Connect your monitor. Some BIOS no longer use beep codes, but use synthetic speech directed at the speakers to report some fault situations. You may miss the message, if any.

On a first start, it should go directly to the BIOS settings. Set everything properly acording to your manual.

Electro
May 2011