Although it may sound like a task, you can install a CPU very easily. Always make sure you have grounded yourself by either touching the metal part of your computer case, or by using a grounding strap. The CPU is a very sensitive component, even though it's easy to work with, always take the precautionary steps to ensure a static spark doesn't kill your CPU.
Once you're finished installing it, installing a CPU heatsink will cover how to mount your cooler on top. If you want to learn how to assemble a computer from start to finish you can get a DVD of one being built, or continue to follow the step by step.
Installing most processors is fairly straight forward. Care must be taken as these components are all very sensitive. As long as you don't force anything you'll be fine.
You can click on any of the images below for the full size image. Although not every processor mounts the same way, you will find the steps very similar to those listed below. The CPU will have a mark, and so will your motherboard. you line up the marks, insert the CPU, and then typically lock it in place.
That's it. Just mount the cooler and it's ready to go.