The procedure is simple.
1. If you have any thermal compound (ASII, etc) you want to use, put a dab on the cpu core. (the raised part in the middle)
2. Hook one side of the HSF clip to the socket, it should be centered over the socket.
3. Get the other side of the clip over the notch on the other side of the socket. This requires a lot of force, and a screwdriver might help.
Once you've got it on, hook the power cord to the CPU Fan connecter on your motherboard. Tug slightly on the HSF to make sure it won't come off.