OK, I took a look at it and it's a surface mount regulator. The relatively large tab IS the heatsink and it is meant to be soldered onto the large pad at the top of the board.
Wipe the board down with ISO alcohol first, to remove any oils/contaminants to aid in solder "wetting". If you have liquid flux, dab the pads, pins and heatsink tab with it prior to soldering. Have an assistant hold the regulator down with tweezers or a small screwdriver in place, taking care to align the pins with the pads. Tack solder the outermost pins to hold the part in place. Place the side of your iron's tip against the junction between the tab and the large pad and feed a small amount of solder to said junction. You want a smooth, uniform, concave "ramp" of solder between the pad and tab, not a "gob", so it doesn't take much solder; just enough to ensure good heat transfer.
Proceed to apply solder to the pins and you're done! Any questions, feel free to ask or PM me. Good luck!