I was kinda wrong, 2.4 kernel of Linux isn't really ready for binding (pinning) a process to a specific CPU, though it does seem to load balance well currently. You can do it though if you feel like a little kernel hacking and recompiling
here is a source that talks about what needs to be done in order to accomplish this.
Windows Servers can set an affinity to a cpu using the Imagecfg (I think) command, but this is a Linux forum so I don't think anyone here would be interested in that.
Supposedly 2.6 kernel will be able to set affinities, but that is a few months down the road yet.
Here's some talk about the 2.5 kernel (which is basically 2.6) going over process affinity. The article mentions that some distributions have back ported some of these capabilities into the 2.4 kernel. Maybe yours is one of those distros?