Yes, a 800 MHz FSB mobo is backward compatible with a 533 MHz FSB CPU. I never doubted that. What I am saying is why bother since the last Pentium 4 is a 3.2 GHz (you have a 3.06 GHz). After that, Intel is going to a different pin count. The only processors you will be able to upgrade to would be a 3.06 GHz with a 800 MHz FSB and the 3.2 GHz with a 800 MHz FSB. Not much upgrading, huh? So, save yourself some money and get a mobo that only supports 533 MHz, but you probably have all the money in the world to spend, right?
No, the FSB is NOT on the CPU, it's on the motherboard. The FSB connects the CPU to the system memory and sends data between them.