basically, you squeeze a bit of the white goop (or premium stuff if you really want it like artic silver) onto the core of the processor... i like to take an index card or a business card and spread it over the core and make sure it's not too thick. this is really a judgemental point, because you're going to be pushing two hard surfaces together, remember you don't need a whole lot. if this is your first time doing it, i recomment sticking with the white goop, as it is not electrically conductive and can't get you into a while lot of trouble if you put too much on and it goes everywhere.
besides that, all you need is a heatsink & fan combo. if you're not planning on overclocking, then the retail HS/fan should do the trick. if you want to beef it up a bit, slurge for a $20 HS/fan from somebody like thermaltake. i'm personally using a thermaltake volcano 9 on my athlon 2000+
that's really all there is to it.. you just spooge the goop on the core of the processor and hook one side of the clip on and then the other.. viola!