Outlander_04 is right, he may have been a little harsh in my opinion but he couldn't be more right...
a 100$ cooler for an 50$ cpu...
1st - With a 150$ cpu you get more power than you will ever get from that E5200 OC'ed.
2nd - That 100$ coller (H60) is worst than many 50$ air coolers, i would even dare saying worst than most 50$ air coolers.
3rd - If you are going to OC then i strongly recommend you to get a better chipset like the P45 (if you are really going to a 775 socket)
Now if you want a budget pc why don't you go for an AM3\AM3+ platform? You will get a much more respectable performance without spending much and you will be using DDR3 which are very cheap, so cheap that you will even question yourself about their quality... I am not going to give you a full config but just to give you an idea you can get these;
AMD FX 6-CORE 6100 (3.3GHZ) BLACK BOX SKT AM3+ ~180$
ASUS M5A78L LE ~90$
CORSAIR KIT 8GB DDR3 1600MHZ XMS3 (CL9) ~70$
CORSAIR CX-500W V2 ~60$
That FX 6-CORE 6100 will give you much more performance than an OC'ed E5200 even at stock speeds, so i would stay with the stock cooler until you get some more money to not compromise other component that will be more relevant to you pc performance like the graphics card.
That config i suggested was a quick one and i am completely sure that if you search a little better you should be able to come up with a better one... but i strongly recommend you a AMD AM3+ build... if you can spend 10 or 20 more bucks in the motherboard you will get the possibility to CF\SLI in the future though if you end up doing it then i also suggest to get a more powerful psu than that Corsair CX-500, i only suggested that one because being corsair means you get quality and 500W is more than sufficient to any budget build and with a 500$ limit than we must keep things balanced so getting a better motherboard, better psu, a cooler means you will probably end using a onboard gpu.
But even though i don't know which will be Diablo 3 requirements i believe that config i suggested will run it with no problems though a 6870 will cost you only 20~30 more $ and will give you a better margin to improve graphical quality. So for 500$ that is my suggestion but my real suggestion is for you to save a few more $'s, 100 more buck and you will get a nice gaming rig.
And about building an OC practise rig... i am not the right person to help you with that and even if i were i wouldn't be at ease... but i don't believe you can learn much from OC'ing an E5200 that you can use on recent platforms... but then again... i am not a great OC'er so i may be wrong about that...
The first suggestion was awful and saying anything else about it would be pointless
I'd reccomend the FX 4100 . Only $110 OC's to 4.6 GHz on the stock cooler
and teamed with a top end graphics card runs games well
Fx4100 looks like a great budget processor.
Diablo probably won't utilize more than two cores though. If I get a mobo that will allow me to drop the two idle cores (if they are infact running idle), would you recommend doing that to get higher clock speeds.
And how much more performance will I actually get from running it at 5ghz dual instead of 4.6ghz quad.
Bear with me please.
How much of a difference would running it OC 4.6(or 5ghz dual) make in comparison to the stock 3.6?