early athlons did not have good enough thermal controls to prevent this type of overheating. Modern stuff does. If you upgrade cpu you prob'ly want new mb and ram. After that because you game, it would be silly to limit your video cards to a dead AGP standard. You want PCI-express for fast cheap VC,s. I'd look for a replacment cpu, most likley the MB is good, but I have seen them die in this situation as well. New MB/Ram/CPU/VC is spendy, luckly you have two HDs. that makes saving data easy. When you get the parts sorted out, try running it and see if windows will find the new hardware and run. It's worth a shot. If not, boot to the cd, enter the recovery console (2k,XP) and copy the wanted data to the second hd. You can try a recovery install ( installing on top of, w/o erasing) of windows also.
Good luck