Aurora-R2 CPU upgrade

I have an Alienware Aurora R2 with the P55 chipset and Intel I3-530 processor. I have the A04 bios.
The processor socket is 1156.

I looked at the processor compatibility list and it says that I can upgrade it to a I5-760. (I bought one that I found very cheap)

The question is, do I need to do something before or after changing the CPU?

I tried to put the I5-760, but when I do that, I don't get any signal from the monitor and then the PC turns off and the CPU is very hot.

Help please!