No i didnt, just the cpu, not the fan and heatsink, why, is this bad?
I tried to find this article that your post reminded me of. On Tom's Hardware a while back, they had a movie showing what happens when an Athlon CPU is booted up without the fan and heatsink. Let's just say it was quite the burnout, and rather quickly at that.
Don't get discouraged out of building your own system just yet. My first home-built PC was a 486 DX2/66 . I made a few mistakes back then and paid for it (quite literally), but once you get the hang of it, it's quite rewarding.
Before you consider this a write-off, a few things you should check/do:
1) Take the CPU out of the socket on the motherboard, while the power is off and the power cord (to the wall, not just the power switch) is unplugged from the computer. Look underneath the CPU. Many many pins under there, if one of them snapped off as you were inserting it, you should bring it back to wherever you bought it. If a pin is bent, then you may be able to very very very carefully bend it back into place. i had to do that with my Athlon and it ended up just fine.
2) Check the CPU for obvious burn marks. If it fried, it should be obvious enough (from what I saw at Tom's hardware, anyway)
3) If all seems well with the CPU, put it carefully back into the socket on the motherboard, and pull the arm down, securing the CPU in place in the socket itself. Read the manual if you're unsure about where/how to secure the CPU.
4) Make sure the heatsink and CPU fan are connected at ALL times. Athlons get hot. and they do so very very very very (very) quickly.
5) Once the CPU, Heatsink and CPU fan are connected, re-plug the powercord. Make sure that the PC Speaker is connected (NOT your soundcard, I mean the little tiny speaker that sits in the case itself and connected via cable to the mobo directly).
At this point, only the Speaker, CPU, Motherboard and Vidcard should be connected. No ram, no soundcard, no network card, no CDRom, no HD, etc....
6) When turning on your system, listen for beeps. if you get NO beeps at this point, I'd suggest taking the mobo and CPU back to the shop and get them replaced. You'd be surprised how accomodating retail stores will be. Just tell them it never worked for some reason, and you should get an exchange.
7) If you DO get beeps, count them. In your mobo manual, there will be a section that explains what the number of beeps refers to. Most likely it'll be the missing ram that it'll beep about if everything is ok.

On another note, if your motherboard comes with onboard video, make sure that you disable that if you have your own videocard (usually a jumper, which I know you already played with, but hey just in case).
Some general tips when building systems:
- Do your homework, always. You should map out every single part you intend to buy (or recycle) in your system, and then go online, and read read read. Make sure that all the peices you buy work together. RAM have different speeds, vidcards could be AGP or PCI, voltage differences. The Motherboard needs to support the CPU you intend to buy, etc etc etc... You just have to make sure everything fits.
- Always always always RTFM. 99.9% of the questions you'll have when building a system will be answered by reading the appropriate manual. Blindly throwing a system together is a recipe for disaster.
- As was mentioned before, never turn on your system (especially an AMD) without the heatsink and at LEAST the stock fan. Many Athlon owners get better cooling from an aftermarket fan.
- It's always a good idea to remain grounded when building your system... Shuffling your socks across the shag carpet before touching your shiny new stick of ram isn't recommended. Zzzzap.
- If you're not confident in your abilities to set up your own system, I highly recommend that you get in touch with a friend who DOES have a lot of knowledge, and have him/her build it for you, and run you through what he/she is doing step-by-step, answer your questions, etc... It"s a great way to build up your own knowledge with minimal risk of breaking something along the way. I have a friend who was too afraid to build his own system, so I walked him through it, and now he tweaks with his own systems all the time.
Hope this helps. And don't get discouraged. Sure it sounds like a head-slapper of a mistake was made with the fan, but consider it a lesson learned and move on. Chances are you won't make the same mistake again, hmm?

- Effayy