[CentOS] Error: Module Microcode does not exist... at boot time

I have just installed Centos 5.0 from DVD. I have also run the software 
updates and I think everything is up to date.
The motherboard is a Gigabyte GA945GM-S2 with an Intel E2140 processor.
At boot time if I select show details - there is one error shown "in 
red", Like this:

Applying Intel CPU microcode update. FATAL: Module microcode not found.
ERROR: Module microcode does not exist in /proc/module      [FAILED]

The boot still seems to go ok - and the system seems to work - but I 
guess it is probably using some subset of the CPU instruction set.

Can anyone tell me exactly what this means - and why the module is 
missing. The CPU I am using is fairly new - so I am not surprised that 
the Centos 5.0 release might not recognise it - but I would have thought 
that updates might have fixed it by now.

Richard.