That would be because his (out dated) AMD is better than your (out dated and bottom range) Intel. The Celeron is basically a Pentium 4 with less cache. Cache is onboard memory for the CPU, if it doesn't have enough then it has to use the RAM, and there is quite a severe time waste in doing so, as the RAM is many times slower than the CPU cache. With Intel CPU's the lag is actually a bit higher than with AMD CPU's since AMD moved the memory controller to the CPU from the north bridge with their 939 socket processors.
Why did you go with socket 939 instead of socket AM2 anyway? In fact, why didn't you go with an Intel Core 2 Duo E6320 CPU with a P965 (or G965 if he only needs onboard graphics) motherboard? Using socket AM2 (or socket 775 with an Intel Core processor) would allow the use of DDR2 RAM, which is somewhat faster than DDR.
Every fight is a food fight when you’re a cannibal.