Never say never.
It depends on what is damaged. If it's a voltage regulator then it could damage the CPU. Most times it is in the north/south bridge chips, a pci card, video card or in the RAM which would not damage the CPU.
Have you turned off "restart after failure" so you actually get to see the fault data windows displays? It will poin to the source of the fault. There is also a windows fault log file stored on the HD somewhere. Search the other posts there are several with good desriptions of how to get the failure data. Then post the data and one of the fault log guru's will intepret it for you.