The motherboard in this picture is yours, right?
http://www.ascendtech.us/mmASC/Images/p5gd2-vm.JPG
If so, are you talking about the metal bracket right where the CPU goes, with the plastic inlay? That's to hold the CPU in.. you pop the metal handle out, open the retention case, put the CPU in (making sure its lined up with arrow / slots, close case and move metal handle back to lock it into place. Then you set the entire HSF assembly ON TOP of the CPU + retention bracket and the plastic snaps should go into holes on the motherboard. I can see the holes in the picture, even.
Intel Chips and motherboards have been using the plastic clip HSF you're describing for ages, and this motherboard has the holes for it. I'm not sure where the 'threaded screwholes' are that you're talking about, but they definitely aren't for screws.
EDIT: Or do you mean that your HSF expects an OLDSCHOOL plastic mounting bracket like this?
http://common.ziffdavisinternet.com/...i=18601,00.jpg
Your motherboard appears to be this type:
http://www.pcstats.com/articleimages...nstall_a10.jpg
Which expects a HSF like this:
http://hardwarelogic.com/articles/re...0/HSF_side.jpg