You say that you have a threaded headset, but the link to the one you want to replace it with is a threadless. Is that what you want to do? You are going to have to make sure that the threadless will be able to be pressed into your head tube. See this link for more information.
http://www.parktool.com/repair/readhowto.asp?id=127 If you really want to do this you might want to have it done by an experienced mech.