If you can, send it back. If the vendor seals on the package are not disturbed, you should not have any problem returning it for exchange.
Even if you can manually setup the clocking, you will never get the full performance of this cpu with your motherboard.
If this was an AMD chip, the only option would be to send it back. AMD processors just don't perform well at all when under-clocked.
One thing to consider, is that this CPU is apt to not be in the database the BIOS uses to set clock speeds and core voltages. Even with a good heatsink and fan, if the motherboard sets the initial core voltage too high, the CPU could fail before you get a chance to change the setting.
Chas