Once your motherboard has been installed, it is now time to install your cpu and heatsink/fan.
The first thing you should do is remove your cpu from the box and examine the pins on it. Make sure that all the pins are straight, and none are broken or damaged. If you see any of this, return your cpu and get a new one. Keep from touching the pins with your fingers directly, handling the cpu by the edges. Also make sure that your cpu is the correct speed and compatible with your motherboard. Also note that a retail cpu will also come with a heatsink and fan.
Next you will want to find the cpu socket on your motherboard. It is a square shaped socket, with many pinholes in it to fit your cpu. The cpu will only fit into the socket in one fashion only, so make sure the pins are lined up correctly. The cpu and socket will usually have some sort of marking to show which way the cpu should fit in.
Most cpu sockets will have some sort of latching feature. It is usually a lever that you can pull and down. Pull the lever up to open the latch and place the cpu in the correct position. Gently push down on the cpu. If the pins are lined up correctly, the cpu will push down fairly easily, although some minor resistance is normal. Once this is done, pull down the lever, which will usually snap into place.
After the cpu has been installed, it is now time to install the heatsink/fan, which should have come with your processor. If the heatsink comes without the fan attached, you will want to attach these first. They are usually attached with screws provided. Most often times, the heatsink/fan will already be attached. Most cpus come with thermal paste on them already. However, if you would like to use your own thermal paste, it should be applied before installation of the heatsink/fan. Apply a generous amount evenly over the surface of the cpu. Next place the heatsink/fan over the cpu, with the mounting brackets lining up with the brackets on the motherboard. Different heatsink/fans will have slightly different installation variations. Follow the instructions provided with the motherboard or cpu and heatsink/fan. Be sure to check that the heatsink/fan is installed securely, as it is vital in keeping your cpu cool.
Lastly, attach the heatsink/fan power cable to your motherboard. Again, check your motherboard manual to see where the power cable should connect to your motherboard.
Now that your CPU and Heatsink/Fan are installed, it is now time to install the RAM (Memory).