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
http://www.madshrimps.be/?action=getarticle&articID=196

or XP-120 exclusive ;)
http://www.madshrimps.be/gotoartik.php?articID=220