Ez debug led cpu

Hey just built my first computer, everything is connected properly but when I boot there is no post. There is an led signifying that the cpu is undetected and it is no flashing.
Cpu: i5 6500
Mobo: msi z170a pro
Gpu: gtx970
Memory: 1 × 8gb corsair ddr4
Using the stock cooler.
Any help would be appreciated

"Updated CPU microcode(0x7C)"

When I went to the support for this motherboard on MSI's website I found this in various BIOS updates. I don't know if this means that you will need to update your BIOS to support the cpu you have but it could be the issue. Could someone else please chime in on this? Btw @PuPsKii what BIOS version does your motherboard have? It usually says on the box it came in.