How to program pentium CPU
Basically:


Get the datasheet, look at the pin mapping.
Design a board with DIMM slots.
Instead of a BIOs, use the northbridge/southbridge's SPI flash port and program an SPI flash unit.


This is far too broad of a question, and takes into account nothing of practical mobo design, such as how to route a fine-pitch BGA (if it isn't the CPU, it's the socket) over 6-8 layers with multiple different voltage levels, how to generate those voltage levels efficiently (for the love of God, not linear regulators) or how to make the connections actually work (traces for DRAM at high speed must be meandered and impedance-matched).

If you want to program a Pentium, buy an old scrap mobo off of eBay or some source and tell its BIOS to boot from the USB controller. Burn your stick with your code and you should be able to work with it. As far as the Pentium is concerned, it doesn't matter if you have a custom mobo or if you're using the BIOS to set its first program address. You don't need to know how it accesses memory because modern Pentiums contain SDRAM controllers which generate the timing and the bootwork for you.

If you're hellbent on making your own mobo, there are a few things you need to look into before hand. The first is BGA routing. For this, you can Google "FPGA board design" because FPGAs have many of the same power and routing considerations as modern CPUs. The second is PCIe routing, because I'm assuming you'll be wanting that - search "differential pair routing". Third thing is DRAM routing, because that is a lot of signals in not much space, much larger than PCIe. 

If you need to know something about how the low-level hardware and software interacts with the BIOS to boot program code, go to OSDev and look at their Bare Bones tutorial. This is for a basic OS kernel but it will suffice to boot whatever you want should you have the patience to work through it all. Using these principles you can turn your quad-core i7 into an Arduino on 'roids.

To do GPIO you'd simply configure a routine to bus data into the USB controller that happens to be connected to a microcontroller configured to receive it. Or, you can design an FPGA PCIe card with 500 different I/O pins operating at 400MHz. One is more difficult than the other.

I had the patience to go through all of this because this is the kind of stuff I do for fun as well, but you need to take the time to really consider the idea rather than just coming on here and asking a question such as "how to I do this?"

Best of luck.