I had a similar problem. Turns out that certain version of the boards (my p6n - sli - platinum that I upgraded to the 1.7 bios for example) need additional hardware added to the board before they are fully functional. Contact MSI and you can send it in to have the board updated if it is not already equipped with the extra 'bits and pieces' necessary to support the newest core 2 duo's. Look for the QC number to be something other than 01,02,03. These numbers need to be revised at the factory.
I for one am pretty unhappy that they advertise a board as being compatible with the E7400 when it is in fact not. I strongly feel they need to place some form of disclaimer there so consumers can make informed decisions. Had I known about this potential problem I would have chosen some other source for the board or another board entirely. (course that might be why they don't, but it feels very deceptive) Kinda like buying a car that "has a 6 speed manual transmission' and getting it with a 4 speed that you ave to send into the factory to be upgraded.
Yes, they will correct the issue but I have to pay shipping and I'm out the board for the duration of about 2 or 3 weeks give or take.
Good Luck with yours.