I've never heard of "erasing" CMOS. CMOS is just where settings are stored for defining BIOS configurations. I just looked at the manual. Removing the battery to "erase" the CMOS is generally used just to ensure that the CMOS does in fact get cleared, since the CMOS settings depend on battery backup. Shorting the jumpers to clear it is supposed to reset it, but in some cases it might not (or perhaps the settings aren't entirely defaulted on some board designs). In general, shorting the jumpers is all you have to do.
As for why it shuts down with the CPU installed, it could be the CPU is fried or other things. Without the CPU, none of the other devices are being initialized, the mainboard probably isn't even sending power to anything except the fans. With the CPU installed, power will flow to everything else and then whatever is causing the problem shuts it down.
Take out all expansion cards, disconnect all cables and all the power cables to other components. Even take out the memory, but leave the CPU installed. If you don't even get a memory error beep, then either the board is dead or the CPU. You just might have damaged the CPU socket, even though the CPU itself was okay (not terribly likely but possible). If you get memory error beeps, then install the memory sticks one at a time and test after each one (you should get a bootup beep even without anything else plugged in), and then move on through the components the same way. This is the only way you can figure out where the problem is.