1. It would be highly advisable to re-install the OS. You might be able to just install the new MB and CPU but the outcome may be less than pleasant.
2. The Asus P4P800 SE works with the CPU you purchased.
http://usa.asus.com/prog/spec.asp?m=...%20SE&langs=09
3. This is a dual channel motherboard and when running an 800MHz FSB CPU you usually need to use at least PC3200 (DDR400) memory. Otherwise the memory FSB will downgrade to the speed of the memory modules and this could affect the performance of the system. Dual channel memory requires modules to be installed in pairs. This means the memory must be installed as a dual channel kit, not individual pieces. While you can use individual memory modules, if they are not exactly the same in speed and latency, the system may become unstable and unusable. If this was the case you can configure it to run in single channel mode. This, too, can affect the performance of the system.