You put a blob of thermal compound ontop of the CPU core (marked with very small black markings, you will recognise it) The blob should be about the size of a grain of rice. Remember it is only there to fill in the gaps inbetween the CPU and Heatsink, so you don't want the compound to be transfering the heat. Once there is a blob on top of the CPU, then put the heatsink on, and let that spread it out evenly.
If you are going to take off your old heatsink, and it has a thermalpad. Run your system for a while with a high demand application, like a game. Let the CPU get nice and hot. after a few minutes, shutdown quickly, then take off the heatsink. If you don't do this, you may risk takeing the CPU out along with the heatsink, and you could bend a pin if you don't pull the heatsink off verticly.
Cisco CCNA, Comptia A+, 1/3 through CCNP