Thermalright XP-120 Heatsink
The first step is pretty simple; lay down the included plastic bracket, and screw it in place -- if your backplate is glued on like mine, you don't even have to remove your motherboard for this. Then of course you would apply a thin layer of thermal grease to the CPU.
Direct Link: http://www.ocia.net/reviews/xp120/page1.shtml
Don't forget to read [M] XP120 inclusive.
Intel P4 Aircooling - Heatsink Roundup 2004