Don’t worry, your PentiumD is supported, but these are special times in CPU-land. As we speak, Intel is launching a completely new line of processors (the desktop-variety’s codename is Conroe and they will be sold under the “Core 2 Duo” moniker). Not only do they have a higher performance than Pentiums, but more importantly they use a lot less power. And they aren’t particularly expensive (which has forced AMD to drop their prices by 50% or so last week).
In summary, if you don’t want to spend $200 on a Core 2 Duo yet, I would either get a cheaper mobo for the PentiumD or an expensive one that supports the new chips and will allow you to upgrade in 1-2 year’s time.