Please search; this has been asked quite a few times recently.
High-purity isopropyl alcohol ("rubbing alcohol") will work, as will 100% acetone ("nail polish remover"). Do NOT use 'nail polish remover' that is not 100% acetone, as it will leave residue.
If it is a brand-new CPU/heatsink, this is unlikely to make much of a difference (though if you have been handling it, you should clean it, since oils from your skin can interfere with the TIM). You should always clean the CPU and heatsink surfaces if you have to remove the heatsink after applying thermal paste.