that's a PIII motherboard, there will be no "processor power cable"
first off, the MSI quote stated 2 possible problems that cause all four LEDs to light up RED. the first one is a simple button cell battery, try replacing the battery first.
the second states that the CPU is either damaged, or not installed properly...
remove and inspect your CPU and check for any bent pins (sometimes it is possible to carefully bend a pin back enough to fix it, but usually the CPU is un-fixable when a pin bends because when it is re-seated the bent pin will snap off)
also make sure that the heat sink fan is plugged in, some mobos wont boot if they don't detect a signal from the fan's speed sensor