An H61 requires a BIOS update before you can use an Ivy Bridge Chipset. You should return it and get one with a B75 chipset as those work out of the box. You could also order a $60 pentium and update the bios with that (assuming you get a sandy bridge pentium)
I just realized that I had 2 old pentiums that came out of a old dell. I believe that they are pentuim 4s. Will those work?