BIOS Setting Problem. I have an INTEL D815EEA Mainboard, BIOS version
P10 with 2 x 128mb 168 pin  PC133 SDRAM memory modules. It has a
Celeron 500Mhz CPU, which I am trying to upgrade to a P3 866Mhz CPU. 
When I install the new cpu the system starts to boot, recognises the
P3 866Mhz cpu and says "Entering Set Up", BUT IT THEN HANGS AT THAT
POINT. Pressing F2 or Del. etc makes no difference. There is a jumper
setting on the board, which I have set to Configuration mode. The way
it should work is that once you have got into Set Up and saved the new
congfiguration you power off, change the jumper setting to Normal and
restart.

I am not a hardware expert
- but something similar happened to me twice, once many years ago and
once early last year.

In both cases the power supply unit was not up to the job
- in the first case the PSU was functioning but faulty
- in the second case I learned that PSU ratings are not always truthful

Either of these is causing your problem.
1. Even thought the mother board identifies the chip, your CPU speed
may be set to high.

Even though the chip is rated at 866, try lowering the speed to about
300mhz, and see if you can get it to boot without hanging.  Then, if
it does boot, adjust to the right speed, or.....

Your heat sink is not fastesn tight enough on the CPU or the heat sink is angled.

Even though it may look like it is on the cpu properly, it may not be.

Try reattaching it, and adding a paper thin layer of heat sink compound.

The CPU is heating up and real fast and causing it to hang at the beginning.

do as fowllowing open your case plug out your computer then open the
battery of the bios and inverse it and after that switch on your
system (in the way that u have plugged out your computer) then again
put the battry in the true way now plug it on and start ur system

Here are some things to try with relating to your BIOS issue.

Your mother board should support the new Pentium processor accourding
to the manufacturer's web site.

-Put your old processor back in and see if the system still
successfully starts with the old processor.  If it works, you know
that the BIOS is ok, you are just having a setting problem.  If it
fails in the same way, you know your BIOS has somehow been corupted.

**If the BIOS is corrupt you need to see if you can get the system to
boot off of a floppy.  You will need to be able to boot off of a
floppy to flash your BIOS.  If you cannot even boot off of a floppy
the motherboard is most likely a totaly loss, as it's older and it
would not make monitary sense to spend all the money you would need to
fix it after that point.  Better to just buy a new motherboard.

-Turn off your computer and disconnect from power.  Remove the BIOS
Battery for 10 seconds, then replace it.  This will reset your BIOS
settings to default.  Try to then start your computer and see if you
can get into the BIOS.

-Check your BIOS version.  It should be listed somewhere on the POST
page as the computer boots.  According to the intel web site your
motherboard needs to have the "P03 or greater" BIOS version. If it has
a an older version, you will need to flash the BIOS to a newer version
to get the processor to work.  Remember that you will need to be able
to boot off of a floppy to flash the BIOS.

http://support.intel.com/support/motherboards/desktop/d815eea/sb/CS-013068.htm

Other odd things to check if the above fails:

-Power Supply?  If your supply is under 250W you may need to try a stronger supply.

-Heat Sink?  Is it secure and have good thermal grease coverage? 
Overheating processors do strange things.