Install Heat Sink/Fan

As mentioned in the previous step, slotted processors usually have the heat sink/fan combo installed before the CPU is actually installed onto the motherboard. But, with socket processors, this cannot be done because the fan is actually clipped to the motherboard.

Well, I'll get right to it. Some of these steps are unnecessary on modern machines, but are here for the sake of covering all setups. I will highlight these legacy steps in red.

Attach the fan to the heat sink. This step is almost always already done for you, but if not, you must do it yourself. This is done using the four screws that came with the CPU fan.
Apply the Heat Sink Compound. Heat sink compound is something that many do not use anymore, myself included. But, in some older systems, it will be necessary. Or you may wish to in order to increase the conductivity of the heat from the processor into the heat sink. To do this, apply just enough to cover the surface of the chip. If you have portions of the chip higher than others, apply compound only to the raised areas. The layer should be thin. More won't hurt anything, but will be a mess when you press the heat sink down.
Attach The Heat Sink. Place the heat sink/fan combo squarely on top of the processor, pressing down lightly. Most newer heat sinks use a set of clips on each side to fasten itself down. These clips attach to a pair of tabs on each side of the socket. It will probably take a little bit of force to bend the clip down over the tab. Other heat sinks wrap around the processor, then just sit on top, the compound being the only real attachment.
Double-Check Contact. If you are using heat sink compound, you need to make sure all areas of the chip are in contact with the heat sink. The best way to do this is to temporarily remove the heat sink again and see if there are any areas of compound that remain smooth because it didn't touch the chip. Apply a little more compound to any such areas, then refasten the heat sink. Repeat this until all areas are in contact with the processor.
Clean The Mess. If you applied too much compound, some will have oozed out the sides. Wipe this up. After that, you're done.
Attack fan to power source. Unless your CPU fan is powered via a standard power supply plug, it is probably powered by a wire attached to a 3-pin power lead on the motherboard itself. You can attack this now. The CPU_FAN power lead is located near the CPU interface somewhere. The lead will have two small pins on each side, and these pins surround the power plug and the pins are inserted into the holes in the plug. It should be pretty easy and obvious.