"Speed Step" down clocks it when you're not doing anything that is cpu intesive. If you start up a game and then check it, you should notice that the speed jumps back up. Usually your bios will have an option to disable this.
Like the others said, it's a feature that down clock your CPU when it's idle. If you want to turn that feature off, and have it running 2.66 at all times, you can turn it off with BIOS. Refer to your Motherboard manual.
When your computer is idle, and you aren't doing any hard things, your processor slows itself down to reduce heat and power use. When you tell it to do something hard (play a game) it will increase the speed again to the normal 2.66 ghz until you are done with the task. It's completely normal and theres nothing wrong with it.