Upgrade is done.
Very simple and no hassle. Just dropped in the new (used from ebay) processor with a drop of Arctic Silver of course, restarted and no weird screens or warnings at all. No need to change anything in Windows. PC is much more responsive now. Went from P4-631 (3GHz) to a Pentium D 945 (2x3.4GHz).
Happy person here, thank you !