You're probably doing something wrong. This could help:
[flash=640,385]http://www.youtube.com/v/hSq_xbxsm7Q?fs=1&hl=es_ES[/flash]
When you mount the heatsink on top of the cpu, there are 4 standoffs where the heatsink screws go in, you have to screw the first one partially just enough for it not to come loose, don't tighten it completely or you won't be able to fit the rest, just like in the video, then only when all 4 screws are partially in you can tighten them until they don't move anymore.