I think there won't be any software to do this. I've read that Pentium 3s used to support software asking for the serial number. But, that was discontinued because of privacy concerns (basically, if software could access it, that would be a totally unique tracking id).
If you didn't take a picture of the cpu before installing it, and if it's not readable any more (besides the fact that you'd have to remove the cooler before you could even see it), I agree with elstaci that the retailer might actually have a record of what they sold you. I don't see serial numbers on my invoices, but who knows what retailers might keep.