Overclocking means forcing a chip to run at a faster speed than it was intended. So you can overclock your graphics card or your processor to improve PC performance - for example you could make your 1.2 GHz processor run at a faster speed so emulating the performance of a better processor.
As Mouse says, it is risky, as this generates extra heat which your standard fans may not be able to deal with - so you can literally burn out a processor doing this if you're not careful.
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