That’s called Processor Affinity, anything with multiple cores can do it, you just have to tell Windows specifically how to utilitarian it under Task Management.
Aside from that, Im not sure what your level of technical understanding is, I’ll just boil down my opinions.
Anyhow, the newer processors are quite nice, the Core i3 series can be compared to the C2D E8400 Wolfdale series which clocks in at 3.0ghz on a 1333 FSB (maybe somewhat below that pending on the i3 being references).
Once you start getting into the Core i5 (the mid range) and the Core i7 (holy shit range), things begin to get fairly advantageous with regards to processing power. If you do any type of virtualization (i.e: running VMWare, etc) the Core i series are fantastic for that as well. If you’re looking for efficiency, power, and great overclocking capabilities and thermal ratio, I recommend the Core i7-920 Bloomfield, which has radiant reviews across the board.
All of this of course, should be paired appropriately with high quality RAM, with low CAS Latency and timings. It’s a given that DD3 will be used with the rig you are considering building, and from personal experience, G-Skill Ripjaw and Corsair Dominator series are particular at the top of the food chain. The Corsair Dominator is great for pushing the clock speeds and timings, IF you know what you are doing, and know basic principles of delivering voltage in a balanced fashion via the BIOS to the CPU and RAM. If you don’t plan on tinkering much with those, or don’t think you’ll be using overclocking as an option, Ripjaw should do fine.
For a motherboard, the sky is the limit, with obvious considerations taken for the socket type to accommodate the CPU, and the RAM type. You are at an advantage going with a custom PC build since manufacturers are more apt to put cutting edge features like USB 3.0 into their mother boards. Really cool if you ever plan on using it.
And of course, the main bottle neck of any computer, the hard drive. SSD all the way if you are looking for speed, my suggestion would be the Intel SSD 160GB X-25, 2nd Generation only since the early ones have had their share of issues, including firmware crashes and bricking.
I guess if I had to build an ideal bare bone setup:
Core i7-920 Bloomfield 2.66ghz
Corsair XMS3 6GB DDR3 1600
ASUS P6X58D LGA 1366 Intel X58