Ok, gotcha

When you see the POST screen, press the
Delete key to get into the BIOS menus, then use the arrow keys to go to the
Advanced menu. If you have the manual, this is on page 51.
On the
Advanced menu, go down to
Advanced Chipset Features and it opens up the menu shown on page 55.
A word of warning at this point: I'm assuming you have PC2700 or PC3200 memory. The 2500+ needs at least PC2700 to run properly. A strong, high-quality power supply in the 350W range is a good idea too, if you plan to OC like a madman.
Start out by setting
System Performance and
Memory Timing to
User Defined, and set
CPU Interface to
Aggressive. If you have a microphone around, plug it into the MIC port on the rear of the system and say "GRRRRRR!!!!" into it a few times, to give the system the right idea.
Next, set
Memory Frequency to
100%. This is
always the right thing to do, even if your RAM could run faster... you don't want your RAM running out-of-step with your CPU, it reduces system performance and maybe stability too. I suggest going down to
DDR Reference Voltage near the bottom (scroll down) and set that to
2.7, and set
AGP Frequency to
66 too.
Now set
CPU External Frequency (MHz) to
166, and hit the
Escape key until you're back to the top-level menu. Go over to the
Exit menu, and down to
Save Settings, then hit
Enter, and
then up to
Exit & Save Settings. This reduces the risk of a corruption.
Once you've ensured that the system is stable at its stock speed, then you can goof around with raising the FSB speed and/or changing the CPU's multiplier to see how much you can wring out of your new 2500+ and your RAM. Is your mobo a revision-2.0 version or the older revision-1.xx model?