That is a great link Hazelnut posted.
Sometimes the thermal interface material causes the processor body to stick pretty tightly to the cooling apparatus. Surface tension effect, I think. I got mine (an AMD, not a P4) loose by wiggling it gently (gently) side to side until it came unstuck. Make sure you have a supply of approved thermal interface material to replace the old stuff with. Don't want to leave any gaps when you put it back.
edit: if the problem is about the cpu unplugging from the motherboard, then I don't know. . .mine unplugged pretty easily.
Good luck.