Your next step - install PC memory. Now that you have your CPU and heatsink installed, let's install your memory. Make sure you're well grounded before handling your memory sticks--they're very sensitive to static discharges. When handling them, only do so by the edges and never touch the contacts.
Installing the memory sticks is fairly straight-forward, but you'll need to check your motherboard manual to determine the best placement for the chips. Some boards will have no retriction on where the memory modules are placed, but others will. If you're using dual channel memory, make sure you follow the motherboard manufacturer's recommendations to achieve best performance.
When you've determined the correct locations to place your RAM, line up the module and ensure that the little nothch on the contact side of your memory module lines up with the corresponding key in the motherboard slot. The location of the notch will vary slightly depending on the memory type (DDR, DDR2, DDR3, etc).
With the retaining clips on either side of the slot open, push each memory module (DIMM) straight down into the slot. This will likely require quite a bit of pressure. You'll know when the memory is in place when the retaining clips snap up to secure the memory sticks.
Step 5: Install Motherboard