First of you should be able to get thermal paste in most specialist computer warehouses. Do you have the heatsink in your hand or is it still to be delivered? Sometimes they come with a patch of paste on them. If not the come in a tube and all you need to do it put on a small dot. not sure of size but sure someone else will help there.
if you are fitting that you need to take you memory chips out of there seats as they can get in the way. The heatsink should sit in line with the base and there should be a stepped part along one side. The stepped part goes to the edge of the processor next to the Socket A part that is showing when the chip is in. I think it is the lever hinge side.
you then just use a flat screwdriver to very carefully pull the clips into place. Be careful not to let the screwdriver slip as it could damaged your mobo.
I think that is all but may have missed something out that someone else will add.