What socket is your system based on, 478 or 775? With either socket type, you can get a replacement in the UK for under £50 including VAT.
http://www.ebuyer.com/cat/Processors...900-Series-775
http://www.ebuyer.com/cat/Processors...-4-(Socket-478)
That said, the CPU is usually pretty tough, and would kind of warn that it's overheating. Were you having any issues before died, such as random reboots, BSODs, slowdown?
If you pull the CPU you are looking for any discoloration or burnt area. While you're at is look over the motherboard for the same thing. Also look over all the capacitors on the motherboard for any signs of bulging or leaking.
When a PSU dies it can take out any number of other components with it, but the motherboard or RAM is the usual victims.
BTW, while you're looking around inside the PC see if you can find the motherboard model number and post that info here.
Thanks,