You use the advanced settings in your BIOS to change various values that cause parts of the system to clock faster. In general you can think of a PC as having a "master clock" which is ticking at some rate, say 200 Mhz. This signal is then either multiplied or divided to drive the clock rates of various components in the system. For example, on a stock socket 939 board you might have a master clock of 200 Mhz, multiplied by 11 to drive the CPU at 2200 Mhz, multiplied by 5 to drive the HTT bus at 1000 Mhz, and multiplied by 1 to drive the ram bus at 200 Mhz.
If your BIOS allows you to change these values you can cause the system to run faster. For example you might increase the master clock to 230 Mhz, for a CPU speed of 2530 Mhz, change the ram multiple to .8 to keep it under 200, and change the HTT bus multiplier to 4 to keep it under 1000. If all this works you'll have a faster CPU.
But the faster clocks often mean higher temperatures, and there are lots of other consequences. Read up and ask questions, and be prepared to have some trouble (such as your PC failing to boot, or even post) the first time you try this.