XP Pro 32 bit won't work with quad processors and neither will the other build on NT5.0
Windows 2003 and XP 64 bit are both NT5.1 and will support quad processors. (2003 goes beyond that in some versions and "Web server" edition 2003 will only do dual)
Linux based on a non-ancient core will support more than you will ever get your hands on afaik.
There could be several reasons why the dual P3 didn't give you 200% performance and I think the low memorybandwith could be the main one. A dual P3 system shares in most cases a single PC133 SD-RAM bus that gives you about one GB/s bandwith shared between the processors and with high latency compared to todays DDR latency.
A dual opteron system with dualchannel DDR3200 CL2 and NUMA (each processor has its memorychannel and they can access each others memory through hypertransport links) give low latency memoryaccess and theoreticaly almost 13 GB/s bandwith.
Tyan makes rock solid serverboards but aren't very overclocking friendly, but I don't think there are too many quad boards to choose from so thats probably not your main consern.
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This is what I think you should do:
Quad systems comes with a premium price over duals, one sometimes twice as high as the dual.
A quad opteron would cost me:
Tyan Thunder K8QS Pro S4882 $2000
AMD Opteron 852 $1200
AMD Opteron 852 $1200
AMD Opteron 852 $1200
AMD Opteron 852 $1200
Amost $7000 for just motherboard and processors, and you will need a SSB MED tower.
But if you instead bought :
Iwill DK8EW Socket 940, nForce4 Pro 2200, E-ATX $600
AMD Opteron 280 dualcore, 2400MHz, Italy, Socket 940 $1100
AMD Opteron 280 dualcore, 2400MHz, Italy, Socket 940 $1100
You will get the same processing power for under $3000.
(These are norwegian prices roughly converted to dollars, so your local price may vary, probably 10-20% cheaper if you live in USA)
EDIT: I hope you know that opteron 2xx processors will only do up to dual, so if you want quad you need to buy 8xx processors that goes up to eightway.