Thermal compound AKA thermal paste is the paste (usually white, except for the expensive stuff) that goes between the CPU and the Heatsink. It conducts heat very well and helps make a better "connection" of heat conduction between your CPU and Heatsink (neither surface is perfectly smooth, nor will they contact perfectly flush with one another.
I've done that a couple times myself - opening up a new HS (with pre-applied paste) or applying paste to a heatsink... I forget it is there and *stick* i pick up a heatsink the wrong way and smudge it all up...
If you dont have any thermal paste, then you can probably very carefully scrape the smudged compound with a small screwdriver and then very carefully re-apply it so it's nice and sa-mooth and even. I've had to do that perticular "proceadure" a few times after I ran out of thermal compound and needed to take off the heatsink... just scraped all the oozed excess and re-applied it for a temporary fix. I even dropped my temps one time by 3 degrees (celcius) after reapplying the old stuff, and thats it.
May the force be with you and in your thermal compound.
You're the guy from that hamburger train, right?