I accidently bought a pentium 3 500mhz processer and I have a pentium 2. I put it in and it comes up and says cpu mmx at 250mhz and says press delete at the bottom to enter setup but it won't do nothing. It dosn't have tabs on the sides to lock it in place like the 233mhz pentium 2. Will it work at all?I suggest you refer to your manual to SEE if the CPU is compatible with your mainboard.

If the CPU does not fit on the socket or it does not fit properly (As in being secured) you should not attempt to use it, it may result in PERMANENT damage.

You would be better off returning the CPU to the point of sale.

It fits snug in there but it has a connector wired to the heatsink like a ground and I don't know where it goes. Its a slot 1.Perhaps your motherboard does not allow you to connect the third connector because it does not support monitoring RPM or whatever the third wire is meant for.

When you boot and it asks you to enter Setup, are you able to boot into the BIOS? You may have to reconfigure the settings due to the new processor.

I still advise you to refer to the manual in order to determine if it is compatible. You may risk damaging hardware.I've never seen a PIII processor that will run in a PI board, what motherboard is this?You did not CONSIDER bus speed and MULTIPLIER.  Bus speed is usually fixed by the motherboard, multiplier can sometimes be changed in the BIOS.

PII-233 has 66MHz bus with 3.5 times multiplier.
PIII-500 has 100MHz bus with 5 times multiplier.
The 500 will never run at 500 but will probably run at 350.
Compare these 2 tables:
http://www.geek.com/procspec/intel/pentium2consumer.htm

http://www.geek.com/procspec/intel/pentium3consumer.htm