dunno about USA, but here almost anywhere that sells them will do it for you. usually they make you pay but ask nicely and they might not if youre buying from them.
it really is easy, in fact the cpu usually wont even go in unless theyre the right way around.
assuming amd:
pretty much just open the leaver, line up the cut-off corner (with a gold mark), drop in place, close the lever. now attach the heatsink: put some thermal paste or thermal pad right onto the cpu (the metal part on top), to make sure heat passes through ok. sit the heatsink on top, and clip it down so its on firmly. if the fan didnt come attatched to the heatsink, attach it (sometimes screw it directly into the heatsink, between the metal prongs (dont let the screws go right through into the cpu tho lol). remember to attatch the fan power cable to the mobo or to a power supply cable!
look about tomshardware.com, im sure theres a simple guide around.
[edit: heres one for attatching a specific HSF that was in a diff post:
http://www.coolermaster.com/technical/Manual/fcpga.html ]
"Bring out the dead..."
"I'm not dead yet!"
"Yes you are!"<P ID="edit"><FONT SIZE=-1><EM>Edited by DaveGOD on 11/21/01 07:59 PM.</EM></FONT></P>