Most of the time when a dealer sells a fan, it also comes with the heatsink attached. However, some big name heatsinks don't come with fans attached and leave it up to the dealer or end user to select a suitable fan. Definitely make sure before you order anything, because a fan by itself is probably more expensive than that same fan bundled with a heatsink.
As for thermal compound, most of the better brands will include a little "blister pack" of grease good for two or three applications. There will sometimes be a little "phase-change thermal pad" at the bottom of the heatsink. In that case, just remove the plastic or paper protective cover and mount the heatsink directly on the CPU. When it heats up, the compound will "change phase" and basically melt onto the CPU ensuring good contact.
There are debates as to whether thermal grease or thermal pads work best. I belive that very good thermal grease, like Arctic Silver, is better than anything else, but that the cheap generic silicone compound tends to dry up over time, making thermal pads the better choice.
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