AMD's socket A processors are flipchips, which means that the processor's vulnerables are presses right against the heatsink, for improved heat transfer. This also means that an incorrectly fitted heatsink can grind bits off the chip. Add to this the athlon's tendancy to spontaneously combust when the heatsink falls off, fitting the heatsink properly is quite important...

So, take your socket A, with processor installed
|  Socket A    |
|              |
|     ___      |
|    |   |     |
|    |___|     |
|              |
|              | 
The heatsink has a clip going through the center, which attaches to the #'s. Look on the bottom - the flat area on the heatsink goes over the processor, the raised area (if present) goes over the socket a logo. If the heatsink has a black heat transfer area, it goes right over the core (the square bit saying 'athlon' on it).

Squirt some transfer compound over the core (about half as much as you'd use toothpaste). Align the heatsink over the processor, and lower it down onto the processor. Make absolutely sure that the heatsink stays parallel to the processor. Hook the bottom (in the diagram) end of the clip onto the socket.

Now comes the tricky bit: The top end of the clip has a notch on it - stick the end of a screwdriver in it, and push down until the clip engages. Use your other hand to steady the heatsink, so it doesn't rock.

To remove the heatsink, put the scrwedriver in the notch, push down, and tip the scrwedriver towards the heatsink. This will disengage the clip, and the heatsink can be lifted off.

AMD will not replace processors damaged by improperly fitted heatsinks. Oh, and don't forget to plug the fan in...