It may be a little sticky, but don't touch it (ok, if you just have to know, I guess you could touch one of the corners to find out
All you need to do is remove the HSF from the plastic tray covering the thermal pad, mount it on top of the CPU, and lock it in place. Then you can finish connecting the rest of your devices and fire it up!
Hope all this helps.
AMD Opteron 165 CCBBE (2.7GHz @ 1.35v)
DFI CFX3200-DR (07/28)
Kingston HyperX DDR500 (3-3-3-8-1T)
Asus Dark Knight Radeon 4870 1GB
2x 74GB Western Digital Raptors in RAID0
500GB SATA-300 WD Drive
CoolerMaster RealPowerPro 850W
NZXT Zero full-tower case
Windows XP Pro SP2