What motherboard do you have crew?
Youve probably got some options in BIOS to change the Front Side Bus (FSB) frequency, PCI bus and memory frequencies.
You might have a CPU internal frequency multiplyer setting too, but this is probably not adjustable with your PIII (I believe all PIIIs have a fixed internal multiplyer, but I may be wrong).
You may also have an option to adjust the VCore (this is the voltage supplied to your CPU, use caution when adjusting dont go too high).
If these options are not in BIOS then its jumper settings all the way
REMEMBER: make small adjustments, then test test test for stability, always keeping a close eye on your temperatures (there are various pieces of software to help do this and your BIOS may have a monitor built in too).
Only up the VCore if you think you need to - eg. if you get so far with the frequency settings and on the next step your machine fails POST upping the VCore may help.
Quality hardware helps - its worth spending a little extra for stability and compatability (Im thinking of RAM and CPU coolers here, but this still stands with other hardware too).
Finally, scour the OCing forums and websites for tips, advice and answers.
Note to all who read this: If Im wrong tell me and Ill stand corrected.