Yes, if it's an AGP video card. If you buy CPU at retail instead of OEM (which I don't usually advise unless you totally know what you are doing), it comes with all the thermal compound, heatsink, and fan. You have to take the piece of paper off from the thermal compound so that it can be applied to the clean surface of the CPU. It's already attached to the bottom of the heatsink so it's a very easy setup. I guess a tip I can give you is be careful when handling motherboards, CPUs, or any electronic components. Hold it by the edge and insert parts so that they are snug in place. YOu don't want to apply to much force to the point where you may crack something. Always have one hand or arm touching metal chassis of your PC case so you are grounded from electostatic buildup.
Other than that, have fun with the build.