ok, look at your mobo manual and reset your cmos (start overclocking from scratch)
u usually want to increase your voltage by an increment or 2... this results in a more stable overclock, but also causes a significant temperature increase.
after increasing cpu voltage, i would start by lowering your ram speed (aka ram divider) you want to adjust it from 200mhz (ddr400) to 166mhz. this will give you room to overclock higher. i know it sounds like it will make things go slower but ram speed is linked to fsb so as u raise your fsb, your ram speed will increase as well. i am guess you get the blue screen o' death/physical memory dump screen when you go to +2.5GHz and try and run an app such as 3dmarkXX etc. this is cuz your memory gets overloaded because you have it set to 200mhz then increase the fsb so the ram is actually probably running at like 220 or so. its just too fast for it.
once you have put in the ram diveder and increased the cpu voltage, start increasing the fsb by 2-3mhz at a time. allow several hours of benchmarking and tourcher testing prior to bumping up the fsb again. you will notice in the MSI CoreCell menu (where you adjust your fsb) that the line having to do with your ram frequency will increase as you increase your fsb (this is what i was talking about earlier) you dont want this to get too far over 200 or you will start going unstable again.
after you have reached the ceiling there, its time to overclock you GPU, but we'll save that for another time.
good luck, and remember, it should take like 2 weeks to properly overclock your cpu to the max, dont try and rush it... i wouldnt recommend more than 5mhz fsb adjustment per day.