overclocking is making your processor of a pci/agp card or your main cpu run faster. Your cpu's "clock" speed means its working power and speed, so overclocking your cpu means it is making it work faster.
The best way to overclock is by going to your BIOS settings. This is usually done by press a certain button at the startup info/splash screen (usually delete, F1, F2 etc). Refer to your motherboard and pc manual for exact instructions.
From there on it is simply a matter of exploring the menus and finding the correct options and changing the multiplier and/or bus speed. Overclocking is sort of complicated to explain, so google it for exact instructions in how.
There are several things you MUST keep in mind:
-When clocking your cpu up, only do it in single steps. Notch it up one, start your pc normally. If you can run without crashes or glitches, then try turning it up more.
-Cooling is VERY important when it comes to overclocking. Ensure your heatsink (fan over your pc) works, and that your case's fans work. Overclocking can heat your cpu up dramaticly, and getting it too hot can damage your cpu
Hope this helps a bit. I'm no expert on overclocking so its best to google/wait for a more experienced member to post!