Noob question - I am looking to upgrade my CPU.

Find your motherboard on this chart and see what processors will be compatable and what bios will be required.
http://www.cpu-upgrade.com/index.html

To answer your question:
Up grading your CPU will not cause you to loose any information.
If Bios reflashing is required be very carefull and read up before making any changes. A backup of your information would be wise.
Depending on your MB and OS some settings changes might be required to enable dual core processors to be fully functional.

There was a prescott-based Pentium 4 3.06GHz, 533fsb with 1MB L2 cache, built for LGA 775. I believe it was called the Pentium 4 519.

There is a P4 3.06GHz 775 socket
http://www.cpu-world.com/CPUs/Pent [...] 066E).html

Edit..Your Motherboard is?

Likely his board is a 915G or 915P based, and in that case he won't be able to run any Pentium Ds or Core 2s. If by chance it's a 945 or 965 board he might be able to find 65nm processors that work with it, but I'm thinking 45nm Core 2s are out of the question (although all my assumptions could be wrong).

Well according to that link your motherboard has the i915P Northbridge, and it lists that its only compatible with Pentium 4. So I would guess other than a faster clocked Pentium 4 you've got no upgrade path without a new motherboard, and that would require a fresh install of Windows.

^+1

Well, it looks like your stuck with P4s up to an 800MHz FSB. I don't even think it supports dual cores, but it might. If you look at the updates page for a BIOS update the release notes simply say

Updates processor microcode to support newer Intel CPUs.

but it doesn't list which ones. Perhaps if you download and extract it there will be a list of supported CPUs in the release notes. Anyway I doubt it would be much better than a dual core P4. I think it's time for you to get a new motherboard, CPU and RAM.

Try a fresh install, that helps most computers more than a lot of computer users understand. A lot of 'mom and dad' computer owners needlessly replace their machines because they've 'gotten slow' even those the demand on the machines is low and has not changed during the lifetime of the computer. Well, I guess it's good for the economy. Try it out, if it still can't cut the mustard, then it's time for a new system.