Unfortunately it appears your board layout has fallen behind by a generation or two. I'm not real familiar with intel numbering systems (was an AMD guy until recently) but I know that the P4s are a ways back. Depending on your budget, you have quite a few upgrade options available... all of which will require a new motherboard and ram.

Low budget option $205:
AMD Athlon 64 X2 3.0ghz, $80 at newegg.com
ECS A780GM-A AM2 Motherboard, $70 at newegg.com
G.Skill 4GB (2x2GB) DDR2 1066mhz RAM, $55 at newegg.com
This setup is your best bang for the buck available. For just over
$200, you can run a dualcore setup with 4gb of ram and have the
potential to upgrade up to 32gb total.

Medium budget option $345:
Intel Core 2 Duo E8400 3.0ghz, $165 at newegg.com
Asus P5Q Pro LGA 775 Motherboard, $125 at newegg.com
G.Skill 4GB (2x2GB) DDR2 1066mhz RAM, $55 at newegg.com
For about $150 more than the low budget option, you can get yourself a higher performing CPU and a more reliable motherboard.

High budget option $810:
Intel Core i7 920 2.66ghz, $290 at newegg.com
Asus P6T Deluxe LGA 1366 X58, $300 at newegg.com
Corsair Dominator 6GB (3x2GB) DDR3 1600mhz RAM, $220 at newegg.com
$810 for the basic parts on this rig may seem like a lot of money,
but the absolute sick performance you will get out of it is well
worth it. There are slightly faster CPUs at a much higher dollar count,
but I wouldn't recommend them.

Please be aware, none of these setups include a GPU, but those are essentially a whole other upgrade issue to consider. You didn't list what kind of GPU you were running either, so I can't say for certain that it even needs to be upgraded. Good luck, and happy multiboxing.