Underclocking is just the same as overclocking............. it is not something that you do on the fly. Please have a look at your power saving options........ they may help?
This is normally the case when you're using a standard computer. However, mobile CPUs from Intel and AMD have been capable of dynamically regulating their speed for quite a while now. This is normally managed automatically by Windows. All the program that alakhiyar linked to does is give you more control over this.
If it isn't working for you, you might not have a mobile processor. I know very little about Intel's branding, since I'm a long time AMD user, but I would assume that if your laptop doesn't have the Centrino branding, it uses a desktop processor rather than a mobile one?
Of course, the program might just not be compatible with your particular processor even if it is a mobile one.

Cheers,
cgkanchi