Kreczor couldn't have explained it better than that. It's a relatively easy process. Just as he said, and you can't express this enough........DON'T TOUCH THE CPU PINS!!!! Any type of oil or what not gets on them, it can ruin the motherboard, and cpu. Then your really screwed.
I was scared shit less when I built my first computer and installed everything, but realized that all you have to be is cautious and take your time, and you'll be fine.