Locked Processors? (and simple overclocking question)

Hey folks,

I'm about to buy an Athlon 2500+ 333 512K. I had been debating if I should
get the Nforce2 Ultra 400 Chipset (on a DFI NFII Ultra-Al mobo) and PC3200
memory and then overclock it so that the FSB runs at 200 and the CPU at
3200+.

But, now I'm hearing about locked processors. What does this mean exactly?
Does it mean that if the processor I get is locked, then I won't be to
overclock it? Or, does it mean that I still can overclock it but just not
as much, or not as easy? I'm new to Overclocking so now I'm a bit confused
what effect a locked processor can have.

Also, if I overclock in the manner I said above, how much risk is involved?
I mean, I've got a great PSU and Case and plan to get a good heatsink/fan,
so I know I can keep the temps down, but aside from temps, is there still
great chance for damage and/or an unstable system (assuming I don't
overclock any higher then what I said above)? Or, is overclocking the FSB
to 200 pretty conservative and nothing I should worry much about?

Thanks for the input!