If you place the HSF mounting pins in the proper mounting setting (look at the arrows and make sure that the black pins are above the "squeezable" snap-on parts) it should feel kinda like installing the RAM modules.
Steadily increase the pressure until you hear a click - then do the same with the pin on the opposite side (like tightening the lug nuts in the car LOL). Repeat the procedure with the remaining 2 pins.
Make sure that you are aiming properly into the holes in the motherboard - the measurements are pretty tight, and it is relatively easy to miss the MB holes.
Good luck!