Well it wouldn't be the first time I was wrong and if I am then I apologize. It is my understanding that this only works with certain MB's. My MB doesn't have this capability and I have been told my CPU would burn up. Any truth to this?
The thermal protection used to be part of the motherboard. Intel CPUs have had some kind of thermal protection since the Coppermine PIII days, but the Athlons didn't get it until the Palomino core and even then it was hardly 100% effective. Modern processors from both AMD and Intel should be nearly impossible to fry even in the absence of a cooling system, but few people are fool enough to try it. What should happen is either a lockup and shutdown, or excessive CPU throttling. Also motherboards currently have their own thermal protection in addition to that of the processor.