Ok, i've just done a bit of research on google. I read one method of using a hair dryer to heat up the thermal compound a bit and then twisting the CPU in a clockwise direction.
That is what I did, minus the hairdryer though. lol, I think the heat in my hands, may of melted it, or using the PC about 30mins before I took it out, it wasn't hot enough to let the thermal coupound losen its self though.