I would proceed with a great deal of caution in this situation. I think it's important that your dh understands how incredibly thoughtful and kind his gesture was, but I also think that keeping the gift is out of the question. If I were accepting donations for Christmas presents for my children, I couldn't in good conscience keep a gift that cost a few hundred dollars. Plus if any of my acquaintances knew that I had this new "thing" and they had donated for my kids to get gifts, they would justifiably be upset.
So, while I think it's really important that your dh get the message that what he did was wonderful, there is no way to keep the gift if your financial situation is as you say it is. I would open the gift, get ecstatic to the point of tears, then with all the emotion I could muster, turn to dh and say, "Oh honey. It's wonderful! But you know we can't afford this. I'll keep the memory of this gift in my heart forever, but you know I'll have to return it." Gush, gush, gush... love, love, love, then take him into the other room to have sex with him, and he'll never remember that you rejected his gift.

(That last part was tongue-in-cheek of course. I guess the main thing I was saying is that it's important that he doesn't feel PERSONALLY rejected for what he did, but rather feels good about what he did, even if he did spend more money than you can afford.)