First, use Sysprep to set up your hard drive for the move... otherwise you will have to reinstall windows and probably lose your stuff. Go here for details, but you will have to use Search to find it in Vista.
Next, transfer everything from your current mobo tot he new one... CPU, RAM, whatever.
Install new mobo in your case. Hook up all the cables (data, power, whatever).
Someone else will have to field that one, as I don't use Intel and their pushpin setup.
Once you have the cooler released from the securing mechanism, twist it (if the retaining bracket allows) to help break the seal created by the thermal paste. Then lift the cooler off the CPU.
To release the CPU, lift the lever (the image is an old socket, but it will do for illustration) to release the socket's hold on it.
Be sure to clean the old thermal paste off of the CPU and cooler using alcohol and a lint-free cloth (I use a coffee filter and cotton swabs). Reapply new thermal paste before mounting the cooler.