Steps when installing a new processor
As long as you don't do anything obviously bad like open up a power supply (you can be electrocuted if you touch the wrong capacitor) or wear a woolen jumper (risk of static electricity) or spill coffee on the components, there's hardly any risk of causing permanent damage. The most common and most frustrating failure mode is that you switch the system on and nothing happens.
Processors are usually sold with a heatsink and fan. (“Open box” or “OEM“ packages might not be, but they're rarely cheaper anyway, at least where I live.) The bundled cooling solution ranges from acceptable to pretty good; you only need to swap it if you're planning to overclock significantly or you want an extremely quiet computer (for a merely very quiet computer, the stock cooler is probably ok).
If the processor is sold with a cooler, the two might already be affixed together, in which case you can directly attach the whole thing to the motherboard.
Otherwise you need to apply thermal paste (also known as thermal compound or thermal grease) between the processor and the heatsink. The layer of paste should be as thin as possible. The purpose is to fill in the tiny irregularities in the surface of the processor and heatsink, because air is a lousy conductor. Since it's impossible to get a perfectly smooth surface on the processor, the aim is to have part direct processor-heatsink contact and part procesor-paste-heatsink. There are tons of sites and videos about the process on the web, of varying trustworthiness; I don't have a particular one to recommend, but you might look at a few, keeping a critical mind.
If you need to flash the BIOS to support the processor, you won't be able to do it with that processor. So unless you have a motherboard that can flash a BIOS from USB without a CPU plugged in (I think a few high-end models can do this), you'll need to first plug in a supported processor.
Steps:
- Read all manuals for mobo; chip; & cooler;
- Do step 1 again;
- If you want to limit risk of static discharge, get a static-strap and use it when handling circuit boards;
- do your installs in good light (mid-day). Many components have fine print/indicators + once in the case, its a bit darker;
- make sure you count all the holes in your motherboard and you have proper standoffs for each of them. Then screw 'em all in;
- If the manuals don't have good pictures, go online to see them in color/enlarged;6.
- Identify all connectors from case; power supply, fans, drives that you are to plug in to board. If your assembly doesn't POST initially, figure you missed plugging one of them in. Often, missed plugs are easier to notice if you 'sleep on it'. Something about dreams lets your brain sift through extra data and flag that the Molex qz23 connector needs plugging somewhere;
- Make sure your keyboard, mouse and monitor are plugged in, powered up and operational before you power-up the system;
- to the extent that you are using 'left-overs' or 'spare parts', make sure they actually work before using them;
- Take a picture of your system when you are done and tell us if anything caught on fire ;)
To elaborate on Gilles' answer, retail CPUs generally come with thermal tape pre-applied to the heatsink, so you don't need to buy your own thermal compound unless you're installing an aftermarket cooler, or if you do need to switch CPUs. If you are, remember that you'll probably need less of the stuff than you think - you only need to fill the microscopic pores in the metal, not lubricate the surface.
The main things to remember, in addition to those discussed above: it's easiest to install components in a certain order; in particular, make sure you install the CPU and ideally the memory before you attach it to the case. ;)
Be careful when installing the heatsink - it's not always obvious (at least to me) exactly how it should be oriented from the instructions (they're usually of the graphical tab-A-in-slot-B variety), so make sure you figure that out before you try attaching it.
The most important rule is "don't force anything that doesn't seem to be going in correctly" - it's very easy to damage a CPU this way. Unfortunately, some of the old Athlon CPU heatsinks did need more force than I would have thought...
Good luck!