CPUs (processors) don't contain any built-in GPUs (graphics processor units). Sometimes, graphics cards come integrated in your computer's motherboard, but not in the processor. An Intel Pentium 4 is a processor (or CPU) and therefore doesn't have a built-in video card, just like other CPUs from AMD. However, Intel also makes motherboards compatible with the P4 processor, and some of those may have built-in graphics cards. Other motherboard manufactuers include: Abit, Asus, Gigabyte, Soyo, etc.
The motherboard I'm looking to buy is the Intel D845 and I was wondering do you guys know if the 865GBF Chipset is compatible with it?
the 845 chipset series is older and obsolete (133 MHz front-side bus/DDR266). The 865 chipset series is newer and relatively current (up to 200 MHz front-side bus, quad-pumped "800 MHz"/DDR400). Some versions have integrated graphics, some not. The G in the chipset and motherboard name indicates integrated graphics, but neither has integrated graphics worth anything. The VIA, ATI, and SiS chipsets with integrated graphics are much better (ATI has the best integrated graphics, but their Linux support is terrible).
Is there a reason why you have chosen the 845 board?