|IMHO, an old Socket 478 board with no AGP slot is not worth upgrading.|
"I found an Intel P4 2.8GHz 533MHz 478pin 1MB CPU."
That CPU won't work because it's a Prescott (as indicated by the 1MB of L2 cache). The Prescott's high current draw can damage older S478 boards.
The fastest CPU you can install is the 2.8/533/512KB (Northwood) P4. The 3.06GHz may work, but you won't be able to use Hyper-threading.
edit: I just took a closer look at the spec page, and it appears that your board supports Prescott-based Celeron D processors (but not Prescott P4s, as they draw more current than Prescott Celerons). However, a 2.8GHz P4 would be faster than a 3.06GHz Celeron D.
"2) Do I need to do anything to configure the FSB for the 533 Mhz?"
Most OEM boards (Compaq/HP, Dell, etc) usually do all of that stuff automatically.
"3) Compaq says 1 GB max memory, but can I increase the memory to 2GB (jumper, etc.)?"
According to HP, your board supports 2GB.
Super PIII | Unlocked ES Tualatin @ 1.8GHz (150x12, 1.65v), 512K L2
2GB PC2700 | 500GB | Radeon x1950Pro | Apollo Pro 266T | Win7 Pro