I presume you mean a CPU heatsink and fan. Its easy enough, you have to remove all the old thermal paste and renew it.
The worst bit as far as I am concerned is getting the clip off, they are very tight, you have to prise them off with a flat head screwdriver and you have to be very careful you don't slip. If you did slip you could easily damage the motherboard.
Thats the only thing that concerns me. All you need is thermal paste (unless the new heatsink has it already mounted) and a slot headed screwdriver, and something to clean the old thermal paste off.
You should be able to find a video guide online if you wish.