If you are upgrading now, and spending any decent amount of money on it, ditch AGP and go PCIe. In the long run you'll just punish yourself for skimping.
As for some of your answers:
3) You back up the files you want. I'm sorry we can't get into detail it changes for every person. Burn CDs, DVDs, or just copy the files onto a different hard drive. Don't lump them into the same directory or you'll never find anything again. It's up to you to create a directory structure that you can understand. Only copy the files that have settings, or things you've worked on. You don't need to back up the program itself, as you will have to reinstall it anyways.
4) No. You will have to reinstall windows, because the motherboard chipset and the CPU are totally different. There are some drivers that are installed when windows installs itself, and these depend on the hardware present at the time. The old drivers may not support your new hardware, and it can run into problems. It's better to reinstall windows with such a major change (usually whenever you change the motherboard)
5) Hell yes! Even the 1.8GHz conroe chip will blow your old P4 3.2GHz out of the water. It's not the gigaherz, it's the underlying chip. Even at slower speeds it's still way better than what you've got, by a mile.
6) Read up on it. Go to webpages. Read the motherboard manual. Check out webpages that describe how to build your own PC. Before I built my first PC the most I'd done was sound cards, vid cards, add-in cards (etc) and memory/HDs etc. I did a lot of reading, checking, looking around. When I did my first it was pretty much without major problems because I researched it before hand.
