Remember they have to recieve it and ship you a new one. How far do you live from them? I believe the Newegg warehouse was in Ohio, so if you are on the west cost or somewhere near there it will take a while. It takes me about 5 to 8 buisness to recieve stuff from Newegg and I'm in Massachusetts.
First of all, don't try to use it without the CPU. Second, you can go to their website and find out when they get it. After you see they have received it, it will take at least two or three days for them to process it before it is shipped back and then you have to wait for the return trip. A bare minimum total in most cases of about three weeks.
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