I would advise you to make sure to have the latest bios as there must have many fixes in the new version.
I have checked for VT Support using this CPU. So board and CPU support VT.
This CPU exists in different SL numbers, hence it exists in different Stepping version like C0, E0 etc.
I remember that there was an issue with old version of bios, when using the new stepping E0, it used to give an error message in the bios. This is why i am telling you to update to the latest version which is Version 96, i think.
Now regarding the settings in the bios, you will need to go Advanced >> Processor Configuration>> VT Enabled.
All the best,