Well, you either mean that you wish to overclock your P3 to P4 speeds, which is pretty difficult, to do from scratch, because you need to judge whether your system will cope. Firstly, you need enough power, then you need enough cooling, so replacing you stock cooler will be in order.
For more info, google "overclocking a P3 <model>" or something similar.
To replace your CPU, you need to ensure that firstly you have enough power, then that your motherboard has a P4 capable socket. I don't know too much about Intel Sockets, but this is unlikely due to the fact that they keep changing socket types, to make you purchase new motherboards. Also reseating a CPU, and applying the correct Thermal paste isn't easy.
you will need to purchase a new motherboard and cpu. You can checkout TigerDirect, NewEgg, and Fry's Electronics/Outpost. Now depending how old your system is it just might be better to work on a new build, with a P4 system.