Problems burning a bootloader

I bought a ATMEL ATMEGA328 with a pre-burned UNO bootloader. Apparently, there's no bootloader in it, so I have to burn it myself.
I've tried using the Arduino as ISP method.
1)Upload the ArduinoISP sketch to the good arduino. Unplug.
2)Add 120ohm resistor between reset and Vcc, and 10/22/47uF from reset to ground. Plug it back it.
3)Change board type to Duemilanove or Nano w/Atmega 328
4)Burn bootloader with Arduino as ISP.

I always get an error message.

avrdude: Yikes! Invalid device signature.
Double check connections and try again, or use -F to override
this check.

Am I doing something wrong?

From what I read, the error message means that the Arduino is working as an ISP, but it simply does not burn the bootloader into the other chip.
Is there anything else I can try, or do I really need to buy an AVR ISP?