Its real easy. I'm assuming you have a FC-PGA P3-600? If that's the case, you will need to first of all get a socket heatsink/fan(HSF) of course. There are several nice models out there, including the Golden Orb, the Globalwin FOS32/FKP32/etc, and of course the Alphas. Of course if you don't intend to overclock a generic/cheaper one will do as well.
Once you have the heatsink, it will probably come with assembly instructions. Most HSF retention devices include some sort of clip. If you look at the sides of your mobo's/slotket's socket370, you will see 2 plastic thingies(technical term) jutting out on both sides, 1 large and 1 small. What you do is apply thermal grease/pad onto the heatsink, hook 1 end of the HSF's clip onto 1 side of the plastic thingy, and then hook the other end to the other side, connect the HSF's power connector to an onboard power pin, and you're done!