You can buy it at Circuit City or best Buy, or online from Tiger or Newegg.
There are many different kinds, but the generally-accepted best is Arctic Silver 5 (AS-5)
There are various ways to apply it, and everyone will give a different answer. If you go to AS-5's website, you'll see application instructions for your type of CPU. I've found the coolest temps obtained by spreading a thin layer over the entire CPU, then placing an additional BB-sized dab in the center and installing the HSF. The pressure from the HSF will spread the dab of compound evenly.