I guess the real question is what is your goal? Are you upgrading for a particular reason? If you're doing video editing, a new processor would help. If you're a gamer and still using the on-board graphics, a new graphics card would be a much better route to go.
Your motherboard, from what I can tell online, is a fairly straightforward LGA775 socket. It also claims to be Core 2 duo ready, so any number of core 2 duos should work in there. I would download any new BIOS being offered by HP/Compaq before doing so. While any of these
should work, the E6400
is the fastest one that come in at under $200.
Upgrading the CPU isn't really that difficult. You would remove the connection to the fan on the heat sink and loosen the four screw posts that hold the heatsink on. The CPU socket itself is simple to unlock so that the CPU can be removed. All these instructions come with a boxed (retail) processor.
If you are any sort of gamer, however, putting in a new graphics card should be #1 on the upgrade list.