If you are on a cooler with thermal material pre-applied...
1) Did you take the plastic cover off the thermal pad before installing the heatsink?
2) Is the heatsink right way around? There is a step in the bottom of the heatsink, the high side of the step needs to be over the header of the CPU socket (where the locking arm connects).
3) Are both sides of the mounting clips done up correctly?
4) Is the CPU core voltage set correctly? Check your mobo's manual, there should be either jumpers or a BIOS setting.
5) If you lifted the cooler off the cpu did you replace the thermal pad? That stuff is not re-useable.
If you are on a cooler that uses thermal paste...
Check 2 3 and 4 above and
1) Did you apply the thermal paste correctly? The instructions are here: http://www.arcticsilver.com/arctic_...etter if it don't work</font color=green><---