When you overclock, you change the settings of the hardware so that it runs faster than what the manufacturer originally intended. You can overclock the processor, you can overclock the system bus, or you can overclock both.
Overclock comes with risk because you're putting higher voltage to the components that is being overclocked. Too high can cause it to grow unstable and freeze up your system or fry it.
Go into your system BIOS and change the settings there. Most systems upon startup, press the "Delete" key will get you in. Overclock a little at a time. Once it becomes unstable, go back down to the previous settings and you should have a successful overclocking experience.
*Fact: Microsoft Window's Blue Screen of Death vs Computerforums.org's White Screen of Death. Which is worse?