WinXP Home edition only supports a single CPU. WinXP Pro does support dual CPU's though. Yes, your thoughts on the OS dividing some tasks and processes across the multiple CPU's are more or less correct.
If you are running a single threaded application, the OS will decide which CPU to assign it to. So the single new thread may get assigned to CPU2 while the OS stuff and I/O requests still run on CPU1. This can enhance performance a bit. But there is also a small amount of performance lost because the OS has to manage what tasks it has assigned across the multiple processors.
I have a quite rather old dual Pentium 166MHz system (Tyan Tomcat IIID) that has had WinNT 3.51, WinNT 4.0, and Win2K on it during its life. It still purrs like a kitten as a file server and SETI@Home server. I encountered several application that would display erradic behaviour or simple not work at all on a dual CPU system. This problem should (in theory) start to diminish as developers write code for the Win2K & WinXP standards, but its still out there.
For example, before I moved to Win2K I downloaded SyGate's proxy server / cable modem sharing application so I could share my cable modem off of my WinNT 4 server. Deep within one of the technical support readme.txt files there is a single comment that the application does not properly function on multiple CPU systems. The application's website clearly states it runs fin on WinNT4. Well it worked fine unless I put a good sized load on it, such as downloading mass quantities of binaries via NNTP. Then the application would blow up and Blue Screen the entire system.
In summary, I would have to agree with the other posts. Unless you have a clear need for additional CPU power for a particular application that thrives on multiple-CPU's (AutoCAD, PhotoShop, 3DMax, MPEG encoding) I would advise that you dump the money you would have spent on the dual-mobo and 2nd CPU into the system. The extra $300 or so that you save would buy a pretty phat video card, or a pretty large chunk of RAM. Either of which will make a single CPU system quite very happy.
-JasonSw2