First off, when selecting a water cooling kit, go with well-known, name brands. Personally, I would stay away from brands like Thermaltake, Asetek, etc. Good brands include Switech, Danger Den, etc. If you are unsure, feel free to ask me (Mr.X). Now I will go step by step on how to set up your system!

1. First, remove all parts from their bags, etc, then get out your instruction manual. Make sure that your motherboard is removed from your case, since often times special mounting hardware is required to attach the waterblock onto the CPU.
2. Apply a thin coat of thermal paste on the top of the CPU. An easy way to do this would be to apply a small sized dab in the center of the CPU and then spread it out with either a credit card, or what I like to do is put a finger in a plastic bag and spread it out that way. Anyhow, once the paste is on, mount the waterblock ontop of the CPU according to the instruction manual. Make sure all screws/clamps are tightened, but not too tight.
2. Next, take the radiator and mount it in the appropriate position. The most common position would be at a case fan spot, since almost all radiators come with fans attached. Make sure the fan is blowing THRU the radiator, not sucking.
3. Find an appropriate place for the pump, most likely at the bottom of the case.
4. Find an appropriate place for the reservoir. Typically the reservoir should be mounted at the top of the system, since the reservoir is filled with coolant during initial installtion, and this will allow most of the coolant to travel downward by simple gravity.
5. Next, reinstall the motherboard into the case very carefully. Once it is installed, do NOT hook up any power cables yet!!! (explained later). Next, measure and cut lengths of tubing need to go from one component to the other. The desired flow should (and usually has to) be this: Pump outlet to radiator inlet, radiator outlet to waterblock inlet, waterblock outlet to reservoir inlet, reservoir outlet to pump inlet (mandatory). This way, liquid will be sent from the pump to the reservoir, where it will be cooled and then sent to the waterblock, removing heat from the CPU. Then the process repeats itself.
5. Install the tubing to the different components as listed in order above. Most of the time, inlets and outlets will be labeled, but occasionally it doesnt matter. To install the tubing, push it onto the barb and wiggle it back left and right until it is all the way on the barb. Then once the tubing is on the barb, clamp it down with included (usually) hose clamps. This is mandatory to prevent leakage. Once all the components are connected and securly clamped, go on to the next step.
6. Lastly, begin to fill the reservoir with coolant. Some coolant will be pre-mixed, while others, such as Swiftech's Hydrx, is not ( needs to be mixed with 1 liter of distilled water). Fill the reservoir. It should empty fast since it is at the top of the cooling circuit and gravity moves the liquid downward. Once the reservoir beings to fill up (i.e. gravity cannot pull more liquid down), stop. Find the power cord to the pump and plug it in to the powersupply (this should be the ONLY thing plugged into the powersupply at this time) Hot-wire the PSU (google search: hotwire PSU with paperclip), but make sure the switch is on the off position on the back. Then, turn on the PSU. The pump should turn on, and immediatly empty the reservoir. Quickly turn off the PSU once the reservoir is empty; DO NOT LET THE PUMP RUN DRY, AS THIS WILL DAMAGE/DESTROY IT!!. Repeat this process several times until the circuit is full of coolant. Once it is full, place the cap back on the reservoir, and allow the system to run for a minimum of 3 hours to leak test.
7. If there are no leaks after 3 hours, reinstall all of your hardware, connect all power cables, etc and boot up your PC. Enjoy the lower temperatures and the silence of watercooling! Now go do some overclocking!!