Overclocking is taking your processor,GPU, and Memory out of it's stock frequencies
Want to know more about Overclocking? It's like Hot Roding your Pc.
1. 1st you need the tools to do the job and it all starts with the motherboard. It needs to be a aftermarket board for example Gigabyte, Asus, EVGA, DFI. A stock board from, say Dell, Compact will not include these features in the bios (they do this as it can result in damage)
2. Cooling. Overclocking produces much greater heat from the Processor or GPU (graphics Card) the extra heat needs to be dissipated to keep the processor within a normal operating temperatures, and there are many ways to get more heat reduction. Better Heat Sinks, like the BTF-90 that I added to my Pc, There's also Water Cooling(yes people water cool their Pc's), Phase Change Cooling, and for the most extreme benchmarks there is Dry Ice and LN2. I have 2 Phase Change Coolers (Prometeia Mach II GT's), both have been Modded w/r507 gas and can reach temperatures of -78c (I wouldn't try sticking your tongue to it)
3. Good quality Pc components. By this I mean A quality Power Supply, name brand Memory Mushkin, OCZ, Kingston are a few I've used (Muskin is my fav) and a good Motherboard, and a some luck. All power supplies are not equal one of the way's you can tell a cheap one from a good one is by how much it weighs. Motherboards are not all equal, even from Gigabyte, some are geared towards the budget crowed and others towards the over clocking community, but all the aftermarket boards will include some over clocking features.
If you would like to know more about overclocking try some of these links.
http://www.xtremesystems.org/ I am a registered member and go by cowpuppy
http://www.overclockers.com/or just try google and a search for overclocking