Did you apply thermal compound to the CPU and the heatsink, or was there a thermal pad on the bottom of the heatsink?
If there was a thermal pad on the heatsink, then did you remove a protective plastic cover on the pad?
Is the heatsink securely and correctly clamped to the CPU die, with no air gaps between the heatsink and the CPU die?
Does the CPU fan run?
Is the CPU fan connected to the correct fan terminal on the MB?
If the CPU fan terminal on the MB has 3 pins, then does the CPU fan connector also have 3 slots?
Did you clear CMOS with a MB jumper?