My mistake. http://www.cpu-upgrade.com/mb-ASUS/P5GC-MX_GBL.html It should support it if the CPU is good and the BIOS is revirion 0404 or newer. Don't ignore this note: "beta,beta,Due to chipset limitation, 1333FSB processors can only run at a maxium speed of 1066FSB on this motherboard." It should work, but its performance will be limited to 80% of its ratings.
The latest BIOS is 0407, but it's a beta version: https://www.asus.com/Motherboards/P5GCMXGBL/HelpDesk_Download/
Then the Q9400 is defective or there's an issue with the VRM on your motherboard. That CPI is new to you, but it most likely is a used CPU. If possible, you should return it. Your motherboard can't fully support any Quad processor.