The new motherboard will come with its own BIOS.
Just changing the CPU on the same motherboard will not require a reinstallation of Windows, but since you're changing the motherboard, it is a good idea to reinstall Windows (at least a repair reinstallation).
If your version of Windows is 9x, you might be able to get away with not reinstalling Windows, but I still recommend a reinstall.
If your operating system is Windows 2000 or XP, then you definitely need to reinstall.
After changing the motherboard, CPU, and plugging in everything, making sure all jumper settings are correct, start computer and go into BIOS settings and check everything is correctly detected, especially hard disk. Check that the correct CPU is detected. Use the new BIOS's default settings for the time being, unless you need to change anything which has not been correctly detected.
Then before you exit BIOS settings, get ready to start the reinstallation process. If it's Windows 9x, insert your boot floppy. If it's Windows 2000 or XP, put the installation CD in (and make sure that in the boot sequence in BIOS, CDROM comes before the hard disk).
Then exit BIOS settings (and save settings IF you have changed something).
At this stage, computer will reboot from the appropriate medium (boot floppy or CD). Then install Windows over the existing copy (without formatting the C partition). This way, all your programs and data will be intact. But all the Windows system files will be back to the original versions on the installation CD, and you will still have to reinstall all Windows updates.
You also ought to back up important files first on your old setup before you change the motherboard.