It depends - you must make sure that your new motherboard has the correct socket for your current CPU, supports the same FSB as your current CPU and so forth.
Also check things such as the presence of enough expansion slots and drive interfaces (ATA, SATA etc).
Providing all those are fine, it's a case of taking the entire thing out of the case and swopping everything out. There isn't, as far as I know, a set order to do things, but make sure you are well earthed throughout the entire process as to eliminate as much static as possible.
Just use common sense, make sure you know what all the plugs and cables are for (Label them if it makes it easier). Personally I advise putting the CPU, Heatsink and Ram in prior to putting the motherboard into the case, but that is just personal preference.
I'm sure you know the rest of the drill, if something doesn't want to fit don't force it, check pins are lined up and so forth.
Good luck, just hope your heatsink fits better than mine did - I had an XP 2000+ and a heatsink latch that didn't want to fit. The instructions read if it won't go, apply pressure with a flatbladed screwdriver - not something I was too keen on with £200 worth of kit in the vacinity!
Oh, and a final note - you may or may not need to reinstall your operating system and so forth, so make sure you have a backup handy. I've had experiences when systems have worked following a major component upgrade, and others not.
John