| Can i go ahead and replace the processor by any of them directly without any jumper resetting?? |
Most motherboards will automatically adjust the CPU voltage. However not all of them do, and feeding too much power to the CPU is very bad. It would be necessary to locate and check the manual to be sure. If the manual doesn't say anything about it then it's probably automatic.
| Is processor replacement is plug and play ? |
Generally yes, although Windows might require re-installation/reactivation because of the hardware change.
| If the processor is rated at 533 FSB can it still works on 400 FSB |
The P4M266A chipset supports 533 Mhz natively.
| As per the manual it takes all the P4 cpus |
It doesn't actually take all
P4 cpus. P4 cpus were manufactured for four different physical sockets (423, 478, LGA775), and chances are extremely high that your motherboard only has one of these on it.
Celrons were manufactured with 6 different interfaces, two of which it shares in common with the P4. Since I doubt your motherboard has an LGA775, it probably has a 478 socket. You can tell fairly easily, if the pins are on the cpu then it's not an LGA.
You'll want to check the manual though or the physical processor to confirm that it's 478 though, because if you buy a cpu for the wrong socket you won't be able to physically plug it into the computer no matter what you do.