Yes, there is usually some kind of retention mechanism. Intels use a simple method of clips. AMD's use a slightly harder method.
With AMD's you make shure you have the HS correctly positioned, raised part of the socked over the recessed part of the HS, clip one side down (side with no place to put a screwdriver in) then on the side (which most of the time has a hole for a flat head screwdriver) you put the screwdriver into the hole, push down (making sure the other side doesn't pop back up) and then slightly put the screwdriver at an angle so the clip on the hs can go over the clip on the socket, then put the screwdriver on an angle inward towards the socket so that the clip can "Clip" itself on the socket.
As for intels, i only know how they work. Im an AMD guy, i havent built a comp using the newer intels with the clipping mechanisms.
If you need me to be more in dept, just say. Ill post pics if you want.