Intel has a nice little site about installing their new processors:
I believe Arctic silver's web site shows you how to put on thermal compound if you need it. Many new heatsink/fan combinations come with a thermal compound patch already. Some people like to remove this and put on their own compound. Its easy to do if you have the right equipment. I generally scrape it off with a razor blade (being careful not to scratch the heatsink). After that, residual thermal compound can be removed with Xylene. Unless you are going to do overclocking, most people go with the stock thermal compound that comes on the HSF.