Some P965 boards will support the newer 45nm Core2Duo processors with a BIOS update. However the P965 was designed for the 65nm first generation Core chips. The E6xxx and Q6xxx series. If it does work with the E8400 it will not be very overclockable.
Edit: Intel website is not much help here http://www.intel.com/support/motherboards/desktop/DG965RY/