Carefully unpack the CPU and heatsink/fan. Since I bought the 'processor-in-a-box' version, I get the approved fan together with the CPU. The AthlonXP heatsink is much smaller than the monster that's in my old Athlon thunderbird PC!
I recommend viewing the installation movies on the AMD site, the heatsink is especially fiddly to install. Also, you must be aware of the thermal material that makes contact between the heatsink and CPU.