Had another problem - couldn't get the stock heat sink to connect properly so the cpu temp starts at about 70 and keeps rising until it turns itself off. I think I need some sort of hydraulic system to push the pins in. Just wanted to moan about that.
That's actually pretty common -- you need to put a lot of pressure on them for them to snap in... More than you might feel comfortable with applying.
Also, note that some heatsink/fan combos have little plastic pegs that you may need to rotate a quarter turn before you're even able to snap them in. In my experience it tends to be easier to do if you push down two of the pins that are diagonally opposite from each other, then then finally do the remaining two.
Finally: never, ever run your computer without the heatsink. They can literally burn up in seconds. While most moderns CPU's do have overheat protection and shut themselves down, it's not always fast enough. you're still taking a big risk by powering it on without the heatsink firmly in place.