I just did a little research of my own.
It looks like your motherboard could actually support a Phenom II X4 940, though you may have to flash your BIOS.
I come to this conclusion because your motherboard is AM2.
It can use that processor.
That's a 125w CPU, and it's AM2.
AM2+ Processors are backwards compatible and can run in AM2 sockets.
The Phenom II X4 940 is AM2+ and is also 125w
I don't see any reason why it shouldn't work.
You may want to check around looking if anyone else has done this upgrade though, as your AM2 motherboard might require a BIOS flash to handle an AM2+ CPU.