|Overclocking means to run the CPU at a clock speed that's faster than the default.|
For instance, the stock speed of the E5700 is 3.0GHz with clock settings of 15 x 200MHz (800MHz FSB). But if you have a motherboard that supports 1066MHz FSB, you could change the CPU clock settings to 13.5 x 266MHz & run it at 3.60GHz. If your board uspports 1333MHz FSB, you could clock the CPU at 10.5 x 333MHz & run it at 3.50GHz. Generally speaking, the faster the FSB, the better the entire system will perform.
There are other settings that need to be adjusted as well - RAM, PCI, PCI-Express, voltages, etc. - but once you get the hang of it, there's nothing to it. You just have to stay within what's reasonable for the hardware you're working with.