Make sure you are properly grounded by touching the metal part of your case. Place your video card on the anti-static bag it came in. If you have an antiESD wristband ( $20 from RadioShack ), wear that and clip it to the metal part of your case. Avoid touching any of the components on the PCB just to be extra safe.
It is not really that hard. On the back of the card you will see a metal bar with a screw at each end. Just remove those screws and remove the metal bar. There should be another screw just below the Rage Theater chip ( or where the "empty" place is. ) That screw holds the HSF on the PCB. You will need a small #0 philips-head driver. Disconnect the header from the PCB, wipe off the silver thermal paste from the GPU with acetone or 100% alcohol, and put on your replacement. If it is a Zalman, follow the instructions CAREFULLY as you MUST apply the little ramsinks before attaching the HSF.
If the old HSF is difficult to remove just CAREFULLY twist it a bit to break the seal on the thermal paste. Make sure you have more Arctic Silver 5 paste on hand.
The picture is of a x800proViVo but my x800xt PE layout is identical to it. I just didn't feel like taking a picture of it when I had pictures of the proViVo I sold.
http://i45.photobucket.com/albums/f87/jevans64/x800proVIVO_backcrop.jpg