yeah u definately cant simply upgrade the cpu unless its another socket A CPU. and honestly, since they dont manufacture socket a processors anymore, 1. its gonna be hard to find one and 2. its gonna be more expensive than simply upgrading ur mobo/cpu to something newer, in most cases (its kinda like a delicacy nowadays -_-).
i would simply recommend upgrading ur mobo/cpu and setting it up. it'll be much faster than any of the socket a chipsets/cpus and like i stated earlier, probably cheaper. beware of the frys cpu/mobo combos though, they'll give u a really nice cpu then a POS motherboard. go check out newegg for they got a lot of good/affordable motherboards and u can get a cpu to go with it (if u want a cheap solution upgrade, i would say biostar mobo w/ a sempron 64bit processor, if u want something thats definately gonna be BETTER, biostar mobo w/ a athlon 64bit processor, maybe even a dual-core).
good mobo companies r asus, dfi, biostar, msi, and a few others. those r my main suggestions though.
and as far as setting it up urself, its really not that hard. just read the manual and be patient. dont force anything and make sure if u have any questions or r confused, u google the answer before u try doing something u dont know will work. theres thousands of guides out there on how to build ur own computer that can be helpful to u. even books at ur local borders r out there (ive actually browsed through some of them before -_-). just like i said, beware of those mobo/cpu combos, theyre usually kinda tricky especially for someone who doesnt know much about computer hardware.