I have an old ASUS P5P800-MX which is the 865GV chipset and the CPU is a Celeron D 336 533MHz FSB 256kb cachse socket LGA 775... and a few weeks ago I picked up a Pentium 4 670 3.8GHz 2MB Cache CPU and replaced the celeron.... it did work.
Only issue is that Celeron and Pentium 2.8Ghz-3.4Ghz come in 478 or 775 sockets... Pentiums up to 3.8Ghz are only 775.
If you have a Celeron D SL8HM, SL7NW, SL7VZ, SL7TJ, SL7DM, SL7L2, or SL7C7 it is socket 478.
All the other 2.8GHz Celerons are LGA775