1. You will most likely note see much performance difference between the 2.8GHz P4 and the 3.0GHz P4. It is only 200MHz difference and the technology is exactly the same.
2. If you do buy it you can most likely install it without having to do anything to windows. The worse case you would have to do a repair install, but this is unlikely.
3. Yes, you should have no issues using the same hestsink that you currently have installed, but you will have to replace the thermal paste.
Personally I would not do this upgrade. You can buy a nice Core 2 Duo or Core 2 Quad system for not that much and have many times the performance that you currently have with your aging Pentium 4 system.
I hope this helps. Good luck.