there's a guide for your heatsink on the vantec site, click the "more info" a couple of times
http://www.vantecusa.com/afc250.html
edit: actually konichiwa's description is probably more detailed :/
bit of emphasis though, if your HS has a little plastic sticker thing on the bottom, make sure to peel it off. When you apply the thermal paste, put it on really thin only on the actual die of the cpu (but covering all of the little metal-looking die). Make sure the heatsink goes on the right way round, the base should solidly contact the die of the cpu, as said already the simplest way is just to ensure the "ledge" on the base of the heatsink lines up with the ledge on the socket, so the socket's ledge is not lifting up the heatsink.
If you follow the diagram on the vantec site, be careful as it shows putting the heatsink on at an angle - DONT have preassure on the cpu die with the heatsink at an angle, better to put the HS down as squarely as possible and lever only the clip. Make sure the flathead screwdriver is firmly in place before pushing down, screwdrivers slipping out is a good way to cripple your motherboard.