Thermal paste help

hello, i am gona buy thermal paste for my processor.
http://www.ewiz.com/detail.php?name=FAN-AS5-3G

i was just wondering if i can just put it under my heatsink and it will work. or do i have to do additional steps to make it work right. the reason i am asking this simple question is that i read somewhere that it is not easy as it looks and i read that doing it slighty wrong can fry your cpu. can i have just some more info and the right way to do it? also for that link i provided, does that thermal paste work for all cpus? thanks in advance.