If you have a corporate built system (Dell, HP, Gateway) or an Intel branded mobo you can forget about OCing it. They simply dont have the options in the bios or jumper settings to do so.
Now if you dont fit the above conditions the way you overclock is simple, you just raise the FSB speed from 100 or 133 where it is at, little by little, until the computer won't boot into windows then back it down some and run prime 95 and memtest86 till you find a FSB speed that is stable in both. If your board has voltage controlls for the cpu and memory a slight bump may help achieve higher speeds. About overheating your CPU you shouldnt worry, I dont think you can OC an P3 high enough to cause it to overheat.