As mentioned earlier, you should know what kind of motherboard you have. usually the motherboard comes with a manual tha specifically shows how to put the CPU on the board.
As mentioned earlier, onece you remove the old CPU from the heatsink it's agood idea to reapply a small amount of heatsink paste to the new CPU to be usre there is good conductivity between the two components. It's very important for the heatsink to be able to conduct heat away from the CPU.
Most board made within the last year don't require switches or jumpers to be set, but knowing what mother board you have is important. Some motherboards simply will not handle the newer processors, and some simply do not handle the advanced features or speeds of the newer processors. If you don't have a chipset that supports hyper-threading, don't put in a hyperthreading CPU. You may want to check the BIOS version number on your system. (Pause the scrolling on the screen as it loads, or better, get one of the utilities that reads all your motherboard data. Some of them are shareware or free. Start at http://www.wimsbios.com/
for starting points on exploring your system.