The "pink square" is a thermal pad, it melts when it gets hot and fills the microscopic holes, scratches and such that there is in the heatsink (and the top of the cpu) thus providing a better thermal transfer. Thermal pads aren't that good though, thermal paste like Artictic Silver transfers heat much better.
So if you want the best transfer of heat from the cpu to the heatsink you should remove the pad and put a thin layer of thermal paste on instead (Arctic Silver has a good instruction on their site). Scrape the pad off carefully and lap the hsf afterwards to make sure the rests of the pad are gone for the best result. The reason the pad need to be removed well is that two thermal interface materials risk leading to worse heattransfer.