The MHZ (Megahertz) of the CPU defines the speed of it, the higher the MHZ the more instruction per cycle it does. Similar to how the horsepower of a car improves performance.
For example a 1000 MHZ (expensive) Pentium 4 would not be as fast as a 2000 MHZ (Cheap) Celeron processor.
Some CPU's are classed with a performance rating, like an AMD 2400+ only runs at 1800 MHZ but performs like a 2400 MHZ chip due to its advanced design.
Modern Pentium 4's have "multithreading technology" allowing them to do many tasks at once with less "slow down", it works like your computer has 2 processors at once.
Some manufacturers/retailers will advertise systems like the "DELL 2400 System" for example. This doesnt as it 1st implies have a 2400mhz processor, I think its a 1000mhz Celeron, so always read the small print.
When you see 1 GHZ etc in adverts it just meens 1000 MHZ by the way, in case you was wondering.