the 965 already has thermal compound on it apperently
If the 965 heatsink hasn't been used before you won't need to add thermal compound.
It it has been used - you'll need to clean the residue off the heatsink and then apply new thermal compound to your CPU.OCZ Freeze
or Arctic Cooling MX-2 are thermal compounds I like.
i7-920 and i7-965 CPU coolers.