The Pentium D is a far slower CPU than what you have. Ever heard of the megahertz myth? Well this is a prime example of this. Intel for the Pentium 4/D used the netburst microarchitecture. It basically meant clock speed but no actual speed. It's all about efficiency per clock, and the Pentium E5200 uses the core architecture which is more efficient per clock. The E5200 can do more each cycle than the Pentium D, meaning that the E5200 is quicker although the Pentium D is clocked faster.
The Pentium D also uses more juice and although it's the die shrunk version of the original 90nm Pentium D the Pentium D still runs hot.
If you want an upgrade get something like a core 2 quad Q6600, or anything with 'Core 2' in it that uses LGA775.