First off, I would never use anything but a credit card for an online purchase, for the exact reasons that Idontcare outlined above. Despite buying nearly everything but groceries online, I have only run into one disreputable online dealer, that sold a used, nonfunctional, non OC 8800gtx as a new, supposedly factory OC 8800gtx, and then tried to pawn it off on me. That was tigerdirect, and it took about 8 weeks, several fraud reports, lighting that allowed the visibility of a serial number that had been taped over with another serial number, and my credit card company involved to get a full refund. Never will use them again. Interestingly, they had another "last 8800gtx OC, exact same description listed", about a week after I returned mine.
If you did not tamper with that cpu, and only you know that, I would not take no for an answer. But clearly that cpu has been tampered with. I would write them a nice email, detailing exactly what happened, and I would post the name of the company and let them know you plan to tell everyone, including pursuing fraud reports with the appropriate authorities. Also in the future, if something is wrong, it is a good idea to take pics immediately when you get it, because if the date of receipt of package, date of pictures, and date of complaint is all the same, while not proof, it makes a very strong case.
The fact is, you know the truth. And if you did nothing wrong, and you allow it, you are reinforcing bad business practices. And it does not matter if the company innocently made a mistake, it is their responsibility to get a working product to you, incompetence is not a defense for fraud.
And I would get intel involved. RMA or not, I would be raising hell with everyone. Though be logical, truthful, accurate with no exaggeration, and polite and thus believable when doing so.