Hi Jimbo,
CPu's are very easy as long as you know how!

Method:
Remove and clean existing components. Be EXTREMELY careful not to damage the motherboard with your special CPU removal tool. (usually a flat headed screwdriver). The heatsink clips on some mainboards require that you release the clip with some considerable pressure, and if the tool slips, you can easily destroy your motherboard's fine tracks in the top layer (or deeper) rendering it quite useless. Be careful you don't knock loose or damage other components on the motherboard, typically the capacitors on the mainboard's power filtering circuit nearby.
Once the heatsink is removed, remove the heatsink's FAN CABLE and place the heatsink aside.
Unlock the CPU locking lever, taking note of the CPU orientation mark (corner mark) so you know how to replace it correctly.
Gently lift the CPU free of it's socket and place on a clean cotton cloth. Termal paste is often toxic, so don't let it contaminate anything that might contact a living thing. (don't rub it in your eyes or eat it!)
If the CPU is new and comes in a box with a heatsink, the thermal compound will be included already applied to the heatsink with a protective cover fitted over the thermal compound.
Make sure you remove the protective cover on the thermal paste, its a plastic cover on an AMD heatsink, and possibly a tape cover on an intel heatsink.
If you have a second hand or non standard heatsink, you will need to apply a thermal paste to the top of the CPU where it will contact the heatsink.
This is applied as a "light grease", do not apply too much compound, it should only just cover the chip or heat spreader with a tiny bit of "squeeze out" (excess) that doesn't run down onto the rest of the CPU.
Make sure the CPU locking lever is fully released (open)
Gently place the new CPU in the mainboard socket, carefully aligning the pins so it just drops in.
Close the Locking lever securely and slowly, noting that the CPU is still fully in it's socket and lying flat and level.
Make sure the pressure pads (if any) on the corners of the CPU are in position and haven't been lost or knocked off.
With the heatsink or CPU prepared with thermal paste, lift the heatsink over the CPU and REPLACE THE FAN WIRE with the correct polarity to the wires. This step is essential so that you don't start the PC and forget to put the fan wires back on!
Let the Heatsink gently down onto the CPU keeping it flat, level, and correctly aligned, taking great care not to damage the CPU. A couple of "dry runs" earlier are recommended for the novice. Correct alignment of the heatsink is especially important or the CPU may be destroyed.
After you are sure the heatsink is correctly aligned, lock it down with the provided clips or levers, using gentle but firm pressure, again taking EXTREME CARE to keep the heatsink flat and correctly positioned (AMD CPU cores have been cracked open fitting heatsinks) and not to let the tool (if any) slip and damage other components.
Most modern mainboards will auto detect CPU voltage requirements and boot them with no problems. CHECK YOUR MANUAL in case a jumper cap setting needs to be made.
Start your PC up and enter BIOS.
Go to the hardware monitor section of BIOS and carefully watch your CPU temperature, also set any auto shutoff or warning signals to your preference there.
Configure your CPU to it's rated speeds (CPU multiplier, Front Side Bus Speed etc), then recheck the temperatures.
Temperatures may be initially high until the heatsink compound "beds in" but this bedding process should only take several seconds, any prolonged high temperature needs to be investigated.
Personally, I use a bedding technique. As I get the BIOS temperature monitor up in front of me, I reach into the PC case and very gently roll the Heatsink ever so slightly from side to side in it's retaining clips (err... I rotate it back and forth slightly, from above), Sometimes this helps if the CPU is staying a bit too hot and the heat paste doesn't bed in properly or too much was applied.
Recheck the temperature several times until you are satisfied all is well.
Hope that helps
Congo