Just take your time and go slow. Don't be in a rush to get it on there. First apply thermal grease to the core, a nice thin layer (Arctic Silver is the best). Next hold the heatsink and push the clip down on the side that just has a curved peice with a hole in it. kinda tilt the heatsink, and hook that hole into the latchon the socket. Gently rotate the heatsink so it lays flat on top of the chip. then firmly press down on the other side of the clip and get it to clip onto the latch on its side (depending on the strength of the clip, you may need a flathead screwdriver to press the clip down, do this carefully!!)
edit: its usually easier to do this before mounting the motherboard in the case