Search around, there are hundreds of threads on this topic.
To shortly sum it up you will need:
Turbo, manifold, downpipe
Oil/Coolant feed and return lines, tapped oil pan
Oil cooler would be a good idea
Intercooler
Intake
BOV/BPV
Gauges will be helpful (boost, wideband, oil pressure)
Colder spark plugs
A couple check valves that didn't come with the NA Proteges
And yes, you most definitely need a different ECU. The reason the MP3 has extra HP compared to other NA proteges is due to advanced timing, and you want to retard timing when you boost. So an MSP ECU with a piggyback such as the SS AFC or Unichip will work best. You'll get a check engine light cuz the MP3 didnt' come with VTCS whereas all other Proteges did, but there's a fix for that. Search is your friend, all the info you need is on this forum.
Also, expect costs around ~$2000 by the time you're done.