The HS can be attached to the board with little supports. Some builders use it, some do not. I tended to avoid them as they can cause the CPU not to be seated firmly in the socket. Look for little black things holding up a black bar that supports the Heatsink. However, you SHOULD be able to leave those there.
The CPU itself will have 2 tabs on top of it. This is on the ACTUAL plastic deal that makes up the CPU case, not the side rails. Push THESE inwards till they pop loose, then pull upwards. It often requires a decent amount of force as it has been there for a while. About 2x the force of a ram chip or so.