The heatsink is the large aluminum block that sits on top of your cpu. There is a fan that clips on over top of it. It will be the largest fan that is actually attached to your motherboard. I don't really recommend removing it until you get some thermal paste though. Thermal paste is a silver compound that helps the cpu stay flush with the heatsink and therefore stay cool. It my sound confusing but, I promise it isn't and if your computer is 2+ years old you really should take it off and clean it. It will make things much cooler and keep your computer around for much longer =). My wife has fried a computer because of the heatsink being clogged.
Here is a link to the thermal paste that I've always used.
Newegg.com - Arctic Silver 5 High-Density Polysynthetic Silver Thermal Compound AS5-3.5G - Thermal Compound / Grease
And a how to video. I wouldn't remove the cpu like he does though as it is easy to damage it if your not sure what your doing. Just don't over saturate your paper-towel or Q-Tip to the point it is dripping all over the place and you will be fine.
https://www.youtube.com/watch?v=kxoC61LB6GQ
And here is a video on how to remove the fan and heatsink.
https://www.youtube.com/watch?v=DkNopi9zsUE
Don't do any of the steps past the 2 minute mark as they are not needed. And I wouldn't suggest a screwdriver like he uses. they are simple enough to pop out.
If you decided to do this always make sure you unplug the computer first and to touch the bare metal on the inside of the case before working to discharge any static electricity as it to can damage things.