You should see a grove in most cases on one side of the bottom part of the heatsink. This should go towards the white edge sticking up a bit on the cpu socket the edge where the socket name/model is probably written.
Here is a example pic where the grove is at the bottom part of the underside:

Also remember that the fan must be connected to the right power output, as most mobos are as default set to not turn on if it detects no cpu fan.
good luck.