Processor?

If you are going for a real upgrade then socket 939 is the ONLY choice that makes sense.
But...

If your board will support a faster socketA chip, they are getting cheaper on the used market as people jump up the foodchain.
You can pick up a 3200 Athlon for @$100 pretty easily and see a big boost in your current machine's performance.
Assuming you already run PC3200 RAM you're all set to wait out the next few iterations of the hardware and see what shakes out.

Lots of stuff is changing or looming right over the horizon right now, it might be prudent to hold back and see what really works and what is just hype.

How'd I access my BIOS setup? :$

When you reboot look for somewhere where it says to push a certain key to enter setup, and press the key it says to press.

Only change what lynx has suggested if you don't know what you are doing.