Hi! First, if you are to upgrade the CPU, then you HAVE TO upgrade the Motherboard as the Pentium series MoBo's are NOT compatible with the 2nd gen intel CPUs. I would recommend you get the core i5 2500k as this will allow you to play games further into the future because it has 4 cores, instead of the 2 in the i3. If you want a cheaper upgrade, you can go with 4GB of RAM instead of 8, 8 is overkill right now and when you need more, you can easily buy more. For the graphics card, I suggest the gtx 560 or the Radeon 6950.
As fir the Windows, you don't need to upgrade until later, where the games will not support Windows xp as an OS