Whenever you change any processor, its good to know if its compatible with your current hardware, that way you know if you need more RAM or a larger HDD, you might even need to upgrade you OS. Also make sure the pin arrangement on the CPU will fit (eg. Socket 370 etc.).
The proper thing to do when replacing anything on a computer (Unless it's external) is to shut down your PC before attempting to service it yourself. The reason being is you may damage a part with static electricity or bend a keyboard pin (PS2 or DIN9).