What kind of board do you have?
There are basically two ways to overclock.
Change your CPU multiplier.
Change your FSB frequency.
Your athlon has a locked multiplier and unlocking it involves filling the pits between the L1 bridges on the CPU with an insulating material, then connecting them with conductive paint. It is a pain and not a good idea for someone new to the overcloking game.
So,
Assuming you can adjust the front side bus frequency in your BIOS, this is the easiest way to get started.
First, there are some programs you want to get. You will need a temperature monitor program. Motherboard Monitor is a good one. This will allow you to keep an eye on your temps to make sure you are not getting too hot.
You should also download Memtest and Prime 95, and possibly MadOnion's 3DMark 2001. You can find them with Google. These will be used to test stability.
Once you have installed these, you are ready to begin.
Start by going into the BIOS and setting the FSB to 138. This is not much of a jump from the 133 default and shouldn't cause you any problems.
Boot up and run Memtest and Prime 95 for a few minutes. I wouldn't worry about 3DMark yet.
If these run without error, you can take another step up. I would recommend going up by 2 or 3 Mhz FSB each time. So 140, 142, 144, etc.
When you get to a point where you get an error in Memtest or Prime, or you can't boot windows, you have an idea of what your limit is at default voltage.
At this point you have several options.
You can try increasing the core voltage or DDR voltage or both. This could allow you to be stable at higher speeds.
Or you can back the FSB speed down a little and test again. Whether or not you want to mess with the voltages is up to you. Increasing voltage will lead to higher temps and can be dangerous for your cpu and RAM. Do some research before you decide.
Either way you go, once you get to the maximum speed you can get without errors in Memtest or Prime, you will now want to do more thorough stability and temperature testing.
Run 3D Mark and see if you get any crashes or hangs. Run Prime 95 for at least 20 minutes and see if you get any errors and if your temps get too high. If you run into any problems, lower the FSB or increase the voltage and try again.
If all goes well, extend the amount of time you run these things. Run 3D Mark in a continuous loop for a couple of hours. Run Prime 95 overnight. This should give you an idea of whether or not your system is stable at these speeds.
Once you are at your limit, there are a lot of ways to try to find out what your limiting factor is and overcome it.
There is a lot more info, so do some research. Post in the overclocking section if you have more questions. They live this stuff.