you will need to buy a heatsink. As for installing the CPU, it's really easy. Lift the little metal rod and you will see the socket slide open.. insert your CPU with the tabbed corner facing the corner where the metal rod comes out from. Athlons only have problems if you let them go way above recommended temps (i think they are safe up to about 75 c, correct me if im wrong).
To put the heatsink on you first have to apply thermal grease or compound to the core of the chip. THe core is the shiny little square in the center where it says the processor type, Serial Number, and all that. After spreading a thin layer of thermal grease you will want to take your heatsink and look at it's clamps... most just have a piece of metal that fits over three plastic pins on one side of the socket, once they are hooked on there using a screwdriver you push down on the other side and ease the other part of the clamp onto the other side of the socket. I know I'm doing a TERRIBLE job of explaining it, but don't worry, most motherboards have manuals that tell you how to do this.
Good Luck, if you have any other questions just post again