Just prior to installing the CPU Heatsink and fan you'll need to apply some thermal compound or grease. Thermal compound helps transfer the heat generated by the CPU to the heatsink better. All you need is a thin coat, the Zalman CNPS9700 LED heatsink I used came with a small bottle and brush to apply but it your compound is in a tube just apply a small amount and spread it evenly on the chip with something flat (i.e. an old credit card, business card, etc...). If you're using the factory Intel or AMD heatsink you'll need to purchase some thermal compound seperately.
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After the thermal compound has been applied you're ready to install attach the heatsink. With Intel and AMD heatsink/fans the fan blows directly onto the CPU from the top so you don't need to take any of the other fans inside the case into consideration. However if you have a heatsink/cpu fan that's geared more towards overclocking like the Zalman CNPS9700 LED that you'll need to make sure the orientation of the fan blades is correct and matches that of the case fans so air is being blown in the same direction. In the case of the NZXT Hush case, there is a intake fan in the front and an exhaust fan in the back so I want to make sure my CPU fan is blowing air towards the back of the case. Each case and CPU heatsink/fan can be different so it's best to read the manual for correct installation.
Actually installing the CPU heatsink is just a matter of locing down the fasteners or screwing in the mounting screws. Once this is done, go ahead and plug the fan cable into the motherboard CPU Fan connector.