The motherboard is the large circuit board in your case that connects everything else together, including the processor, memory, video card(s), storage media, etc. Since you're looking to upgrade your Pentium 4-based system, which probably uses Socket 478, you'll really need to get at least the following new components:
- Motherboard
- Processor
- Memory
- Video card
- Power supply (probably)
You may be able to keep some things, like your hard disk(s), DVD drives, monitor, speakers, keyboard, mouse, and maybe even your case.
You'll want to choose a processor and motherboard that are compatible with one another, meaning they use the same processor socket and the particular processor is supported by the motherboard. I recommend getting a processor from Intel's Sandy Bridge series of processors, such as the Core i5-2500K or Core i7-2600K (or, if you're on a tight budget, the Core i3-2100), which use the LGA 1155 socket. I'd recommend a motherboard that has an LGA 1155 socket and uses Intel's latest chipset, called Z68. Some good ones are listed below.
As for memory, you'll want at least 4GB, but preferably 8GB (so you won't need to upgrade again soon) of DDR3 RAM (your current motherboard probably uses the very old DDR type of RAM), and you'll want to get it as a matched set of two 2GB or 4GB modules (referred to as 2 x 2GB or 2 x 4GB). I've listed a couple sets below that are on the Qualified Vendors List (QVL) of the motherboards listed, so they're guaranteed to be compatible.
Regarding video cards, you'll want to get one that uses the PCI Express 2.0/2.1 x16 interface, as your current card probably uses the old AGP interface. Any of the motherboards that support the processors I mentioned will have at least one PCI Express 2.0/2.1 x16 slot, if not two or three. I recommend either the Nvidia GTX 460 1GB as an entry-level but very good card, or the GTX 560 Ti as a step up. The high end would be something like a GTX 580 or an AMD Radeon 6970.
I said you'd probably need to replace your power supply because back in Pentium 4 days, a 280-350W power supply was sufficient for the hardware of the time. These days, the absolute minimum would be a 500W power supply if you're using a very basic video card, but for most gaming cards, you'll need at least 750W. I recommend Corsair's TX V2 series of power supplies.
If your case isn't a proprietary case from Dell or HP or some other maker, you may be able to use it for your new system; if it is, though, you'll probably want a new case as well. Cooler Master's HAF series (especially the 922, 932, and X) of cases are great, and Antec makes some really nice ones, too, like the Three Hundred Illusion, the Nine Hundred, and the Twelve Hundred. There are also cheaper cases, like the HAF 912 or the Antec Two Hundred, that would do nicely as well.
On top of all that, to take advantage of your 4-8GB of RAM, you'll need a 64-bit operating system that will run the latest games, such as Windows 7 Home Premium, Professional, or Ultimate 64-bit.
If you have further questions, add them to your question and I'll do my best to answer them.
Good luck! :-)
PROCESSORS
http://www.newegg.com/Product/ProductList.aspx?Submit=ENE&N=100007671%2050001157%20600095610%20600005686&IsNodeId=1&name=3.0GHz%20and%20higher
MOTHERBOARDS
Asus P8Z68-V ($179.99):
http://www.newegg.com/Product/Product.aspx?Item=N82E16813131729
Gigabyte GA-Z68A-D3H-B3 ($129.99):
http://www.newegg.com/Product/Product.aspx?Item=N82E16813128502
POWER SUPPLIES
Corsair's TX V2 series, in 650W, 750W, and 850W models (I'd recommend at least the 750W):
http://www.newegg.com/Product/ProductList.aspx?Submit=ENE&DEPA=0&Order=BESTMATCH&Description=Corsair+TX+V2&x=0&y=0
CASES
Cooler Master HAF series:
http://www.newegg.com/Product/ProductList.aspx?Submit=ENE&DEPA=0&Order=BESTMATCH&Description=Cooler+Master+HAF&x=0&y=0
Antec "Hundred" series:
http://www.newegg.com/Product/ProductList.aspx?Submit=ENE&IsNodeId=1&Description=Antec%20Hundred&bop=And&Order=RATING&PageSize=20
---
UPDATE: For some reason, Yahoo! Answers has decreased the allowable length of answers and number of sources, so I can't provide links to all the parts I mentioned. WTF, Yahoo!?