Um, you know, it would probably help if you were a bit more specific about what you have now. Here's what I can surmise from your earlier posts:
Sony VAIO that...
...Has a stock motherboard and CPU
...Runs PC133 RAM
From the above, it sounds like your machine is a few years old. So, I do not think a CPU upgrade is in your future, if you desire the performance boost of the kind provided by a late-generation P4.
If you are thinking of building, which is what many here do, I suggest studying many of the online guides. Here's one of them, from
ArsTechnica. Here's another one from our friends at
SysOpt. There are others that you can discover just by Googling.
When you determine the specifications of what you want to build, then you go after parts. But don't just buy anywhere. Use
ResellerRatings.com to ensure your parts vendor is reputable. I'm a fan of
Newegg myself. The nice thing about building is that you know what you're getting, and you can save a few hundred dollars compared to a similar machine from the majors. I think many here would be more than happy to give you advice on what parts go with what, just so you don't end up with a bunch of paperweights...very expensive ones at that. If you want an example of an assembly of components that work together (i.e., my present gaming system), here it is:
ASUS P4PE-L Black Pearl Edition motherboard;
P4 2.53 GHZ with stock Heat Sink and Fan;
2 x 512MB of Kingston PC2700 RAM;
Chaintech Geforce4 Ti4600 (which I later replaced with a Sapphire Radeon 9800 Pro);
Turtle Beach Santa Cruz 5.1 Sound Card driving Cambridge Soundworks midrange/tweeters + subwoofer;
40GB Western Digital Hard Drive;
Sony DVD-ROM;
X-Dreamer Pre-Modded Case, but with a replacement ThermalTake Silent PurePower 480W power supply (did that myself for long-term power stability);
WinXP Home (to be replaced by Pro soon)
Total cost at time of build: ~$980 (already had monitor; reflects GF4 vidcard, not Radeon; not counting the 480W power supply)
It's a year old, and I expect it to last a few years. Big tip: Wait for sales.
But if you think this is beyond you, then you really should consider going with Dell or Gateway - if you want to just be done in one go, and can afford the price tag.
Hope this helps clarify what may be ahead for you.
hardware
prices 
