I wouldn't bother with a CPU upgrade.
I have a 3500+ on a ASUS A8NSLI motherboard and the best 939 chip I can find is a 4400 dual core and to my way of thinking its not a big enough jump. And its expensive. For not much more I can get a motherboard bundle AM2 processor with a gig of RAM.
I was considering a 4200+ dual core to extend the life of my PC a bit but I have a 3500+ and its not much of a boost. Its even less for you since you have a 4000+. On the plus side the 4200 dual core without fan is only about £40. The 4400 is much more expensive, over £100.