I'd find a better CPU that is on the supported CPU list for that board. A Pentium D 3Ghz even with 4MB Cache is going to be a bottleneck if it did work.
If you are looking for a cheap but good performing CPU for this build, I would suggest going with a CPU like the Pentium E5400
http://en.wikipedia.org/wiki/List_of_Intel_Pentium_Dual-Core_microprocessors which is 2.7Ghz and a pretty good Dual-core and is on the supported CPU list. *I have 2 of these CPU's in 2 builds and they are good workhorses for what I use them for. They also are able to run most games with a good video card added. The lightest CPU I'd put in this is a Core 2 Duo. * Some Core 2 Duo's out perform the Pentium E5400, but the E5400 is a newer CPU
*I would suggest staying away from the Pentium E2000 series as for the ones I have worked with in business machines are laggy even with plenty of RAM. And with Core 2 Duo's I would suggest the 2.4Ghz Core 2 Duo e6600
http://ark.intel.com/products/27250/Intel-Core2-Duo-Processor-E6600-4M-Cache-2_40-GHz-1066-MHz-FSB as for this CPU performs WAY better than the Core 2 Duo e4300 1.8Ghz
http://ark.intel.com/products/28024/Intel-Core2-Duo-Processor-E4300-2M-Cache-1_80-GHz-800-MHz-FSB that my wifes HP computer tower initially came with. The 2.4Ghz e6600 vs the 1.8Ghz e4300 is a significant performance gain, especially when it comes to games. She currently games on this machine on the e6600 2.4Ghz Core 2 Duo with 4GB RAM DDR2-800Mhz running Windows 7 Home Premium 64-bit with a GeForce 9800GT with 1GB RAM, and a 160GB IDE HDD for the OS and most games, and 30GB SATA II SSD for World of Warcraft which is 25GB and really performs well on the SSD vs the old slow IDE HDD that I put into this computer. *The original hard drive that this computer had when given to me ( for free ) "dead" was a 320GB SATA II HDD, but the drive was toast and the 160GB IDE was collecting dust and so I added a 2x IDE cable in place of the 1x IDE cable to have the DVD/CD-RW drive and HDD on this IDE port and when a deal came by with a close out on a OCZ 30GB HDD for $29.99, I picked it up quickly for her system.
Here are the supported CPU's for that motherboard:
Core 2 Duo, Core 2 Extreme, Dual-Core Xeon 3000 series, Core 2 Quad, Pentium Dual Core, Celeron 400 sequence, Quad-Core Xeon 3200 series, Celeron Dual Core, Dual-Core Xeon 3100 series, Quad-Core Xeon 3300 series
Here is a comparison between the 2 cheaper CPU's that I suggest the Core 2 Duo e6600 2.4 Ghz vs the Pentium E5400 2.7Ghz :
http://www.cpu-world.com/Compare/385/Intel_Core_2_Duo_E6600_vs_Intel_Pentium_Dual-Core_E5400.html .... as you can see they are really close in performance and the strengths and weaknesses are stated.
**Also if you want to overclock, the Core 2 Duo e6600 is a great CPU for running it hard and lasting. The CPU that normally runs at 2.4Ghz will run at 3.0+Ghz without any problems as long as you have proper cooling!!! The Core 2 Duo e6600 that is in my wifes computer I purchased off of my brother who ran it overclocked for almost 5 years in his gaming system at 3.2Ghz. I bought the motherboard with RAM CPU and heatsink for $90 and sold the high end motherboard for $50 and kept the 4GB Corsair DDR2 XMS2 800Mhz RAM for my gaming system and installed this CPU into my wifes computer as just 2.4Ghz native clock. *The ASUS motherboard in this HP Pavilion has no BIOS features to overclock and the e6600 is the fastest CPU that is supported by the lower end ASUS for HP motherboard.
*** If you can find a Core 2 Quad for that motherboard that is even better. It all depends on your budget and what this build is going to be used for?
**** The motherboard is an older board and could be still be listed as brand new as long as it was never used prior to you using it, even though its from 2008/2009
http://ark.intel.com/products/34683/Intel-Desktop-Board-DP45SG. I have seen old stock brand new = never used items on ebay before, even items that are over 20 years old and they stopped making the items years ago like 5.25" single-sided floppy disks in a sealed box.
***** Here is a comparison between a Pentium D 945 CPU slightly more more powerful than your current CPU and a Pentium E5400 :
http://www.cpu-world.com/Compare/309/Intel_Pentium_D_945_vs_Intel_Pentium_Dual-Core_E5400.html