Installing the Processor Q's

So I am building a comp for the first time and utilized a bunch of online guides, pc gamer mags, etc. When I power on my computer it goes to a motherboard screen that says 'press tab for POST test' 'Press del for BIOS'. None of the commands on my keyboard work and I am wondering what is supposed to happen when you power on the computer for the first time, some guides say it goes directly to the post test, which I don't believe mine is. BTW my dvd drive didn't come with an SATA cable so that is not hooked up just yet.

 Also, as the topic name implies, when I put in my processor (lga 775) I layed it down gently, did not push it, and when I put the fastener back over it I heard some crunching that was quite nerve racking for a first time builder. Is that crunching sound normal or did I screw something up bad? The mobo is some cheap MSI one I got that claims to be 45nm ready. 

 I am just wondering where to go from here. Thanks