In the days of DOS-based Windows, the idle loop could still be a busy loop, and programs like CPUIdle could have a function. However, in NT and its successors, the idle loop is a stop instruction, and so cannot be improved on. The only way left to cool your processor more is to buy a better fan, or to force it to run slower (which can be done by getting a cheaper processor in the first place!) - but as you'll end up executing the same instructions in the end, I doubt that slowing it down has much effect. CPUIdle is probably simply stopping your processor to let it cool down just when you want it to be running...
Paul
On the contrary - running XP Pro, and at least one of my processors does have a tendency to overheat without it - and the difference in measured CPU temperature is clear to see when using CPUIdle. This is especially important here in the summer, when temperatures climb somewhat...
I should add that I have fans a plenty. CPUIdle does exactly what it claims and they have a happy customer here!
The last time I switched it out for an extended period (and I can't remember why) I lost a day's intensive FSE editing thanks to a BSOD.