Don't listen to them the socket 775 P4's OC pretty good and will help with gaming if that is what you are doing with that rig. I am guessing you are using the P4 til you can upgrade to a Core 2 in that board.
First things first don't use software to overclock its not a good idea and could damage your operating system to the point that you have to reinstall everything.
Second make sure you got proper cooling P4's run hot and without proper cooling you will damage something guaranteed.
You are probably haveing problems because you are probably overclocking your RAM too much. You will need good RAM to OC because as you raise the fsb the RAM will also increase too so make sure you are running your RAM at 1:1 ratio.
Read threw this guide it should help you alot.http://www.hardwaresecrets.com/article/198