First of all, your P4 isn't dead yet. Passing from a 7600GT to a 9800GT will certainly give a decent boost to your framerates, I wouldn't put out the gfx card purchase off just because of the CPU.
Now it is true the P4s weren't the best in regards to gaming, so a new DC CPU would do good; however everyone probably agrees with the fact the CPU upgrade wouldn't bring anywhere near as much FPS as the GPU upgrade.
Dx9 vs Dx10 - for now I'm with Dx9 though I had Vista for about a year and Dx10; Dx10 (for example) is the "Very High" settings in Crysis; if you followed the reviews, you need a monster rig to play Crysis on Very High, the fact you're able to (by having Vista) doesn't mean you'll actually play in Dx10 unless you're in for a slideshow.
As for the instalation it goes the other way around: get the BIOS updated (usually thry the floppy method if you don't have an OS installed), install the new CPU, install the OS and all the rest.
My 2 cents, hope it helped.
According to 1 review, this card should be able to play Crysis on all High detail w/ AA x4 at 1280x1024 with 36 fps average. If this card gives me performance like that then I can't complain.
If not, then I know its my mobo/proc/ram holding me back.
I should note that currently my CPU runs at 95%-100% capacity(according to task manager) with Age of Conan up and loaded, and that's not even on max graphics. Anyways, Thanks for your help all.