I'll add something here. It is important to note that there are TWO revisions of the SE440Bx-2 board around. The earlier revision will support only Katami cores and the second will handle Coppermines. You can find out what version you have by a little chart on Intel's website. (Don't know the serial numbers off the top of my head.)
You will certainly need a bios update for either version. This isn't too hard, you make a bootable floppy disk. (Put blank disk in drive, right click under explorer, pick format, copy system files.) You then download the bios file from intel's site, extract it (usually you will need to extract 2 files) and put those files extracted on the floppy. Usually these files are a .bin bios image file, an autoexec.bat file, flash.exe, and beep.exe. All that is left to do it boot the machine with the disk in the drive and follow the instructions. If something goes wrong (VERY RARE i.e. power fails) there is a little jumper on the MB that allows you to load a bios as well.
After updating the bios you should enter setup and check all of your settings to make sure they are all correct. (Write EVERYTHING down before loading the bios!) There will likely be a few new options added after the update, set them accordingly. Windows may detect a whole bunch of new "toys" after booting up and will probably restart a few times.
As far as the processor goes, if you have the second revision, get a Coppermine. If not you will be stuck with a Katami core version. No matter what you will want a 100Mhz FSB version. (NOTE: It is possible to run a BX system at 133Mhz FSB, but it puts a huge load on your video card and PCI bus. It would run the AGP bus at 89Mhz, rather than 66. If you want a stable system I'd recommend a 100Mhz PIII. )
Hope this helps.

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bloom25
THUNDERBIRDS