What's a TDP issue and how to perform BIOS update?
TDP refers to the maximum power a CPU will pull at stock settings. If you install a 125w TDP chip in a board that can only handle 95W TDP, you could have problems.
Every BIOS update I have ever done was with the help of the MB maker's instruction manual. -So I'm not sure how you would do one on your board. (It varies from one maker to the next)
You probably won't need an update though because your upgraded chip is from the same Conroe "family" as others that your bord recognizes already.
I'm not 100% sure it will work, but the risk is small enough that I would try the update if I were in your position. (All signs point to it working)