You can still overheat your cpu when your hsf is working (if you OC that is) it just takes much more to do it. And it's fairly easy to crash Windows with a hsf on, as en example just set the fsb a little (1 or 2 Mhz) too high and it might boot but will crash either in Windows or starting it.
But that's normally not a problem if that's what you're afraid of, just reboot and set what you changed a bit lower and it'll work fine, normally. You can corrupt Windows (so you have to reinstall it) if you're very unlucky but it rarely happens.