Do you have a link for the product...like where you bought i from. As far as I know a socket A heatsink will fit any socket A processor ( i know makes sense). The 2800 is a socket A so it shouldn't need anything extra...just follow the directions supplied with the heatsink and make sure you get the orientation right (the groove in the copper needs to be above the highest part on the socket).
It probably means up to 3400 because of the CFM that it pushes out. As long as you have a socket A and the heatsink is socket A then you are plenty good to go. Make sure you put on thermal compund before you install that heatsink.
the 3400XP just means that you could put it on a SocketA cpu up to 3400+ if it existed, as in it will run quite well on your 2800+. Just follow the directions on seating the heatsink properly and you should be fine. if you dont have any thermal compound then i suggest buying some artic silver 5.
If there is "compound" or a "thermal pad" already pre-applyed to the bottom of the Heatsink... then, no you dont need to buy any thermal compound.... unless your overclocking you cpu a lot.
If the bottom of the heatsink is just clean and shiny.. then theres NO thermal material applyed.. witch means u need to buy some.
If there is a pad or compound on it already its pritty obviouse... with means you dont need to buy any compound... just dont touch the "thermal material" to keep it as clean as possible.