Here is what happened.
a) the cooler you got sucks, period! Also, the place in which you got it from sold you a model that was only recomended to go to 1 gig, Seeing how you have a 1.33 gig processor this and this alone makes our return of both the processor and the heatsink an aceptable thing. Make sure you arm yourself with information from the link provided just in case your retailor objects.
b) although I am sure you thought you installled this heatsink correctly it would appear that you did not have it seated to the cpu correctly. More likely than not it was of kilter which is another problem with the orbs. Why do so many retailors sell the orbs? Well they look cool and have better profit margins. Someone takes a look through the glass case and thinks, dam now that ought to work great! Too bad this is not the case. My local retailor has discontinued carry the orbs altogther, calls them cpu killers, he tells me he has even seen intell cpu's crushed by these. It is called mass manufactoring without quality control.
Heres what I suggest, take your motherboard, cpu and heatsink all back. Tell them to mount the new processor and heatsink for you.
A little bit of knowledge is a dangerous thing!