Dell Dimension 2400: CPU Upgrade?

I bought an Pentium 4, 3.06ghz/512/533 SL6PG, and I Installed it in my 2400 and replaced the Celeron 2.4... But Once i flip the little handle beside the cpu and put the heat sink back on top... turned the computer on and got an orange/amber light on the front? So i was annoyed and then took it out and noticed 2 bent pins... then I straightened one of the pins and put it back in the mother board and made the computer run and the cpu got hot and the computer shut down... was i suppose to add some thermal paste? and what does thermal paste do?