It's not too difficult. Just make sure you don't have an iron bigger than the job dictates (no soldering guns!) A small 15watt with a reasonably small tip in good condition is the best bet.
Make sure you are using some decent, small diameter, flux core electronics solder. Don't try to tin the 40-pin header, as you might not be able to get it inserted into the board. Once the header is in the board, you can hold it in place with a clothespin, if necessary, while you solder the opposing corners of the connector. Then you can remove the clamp.
Then place your iron on each pin for a second or two before touching it with the solder. The solder should melt and wick it's way into the junction point of the metal surfaces. You don't need a lot, but a enough to make a nice conical shape is preferred. If two pins get bridged together, don't worry. This can often be remedied by simply sliding the tip across the bridge and adjacent pins. This will have the effect of distributing the excess solder, and/or collecting it on the tip so long as you don't have large blobs on your connections. If all else fails, solder wick will be handy to have for this as well.
Like anything a little practice can do wonders, but as long as you don't overheat the connections and take your time, you should do fine. If you have any questions, you can email me as well.
RandyT
*edit*
And DON'T try to use one of those "cold heat" contraptions. If a metal pad positioned between the prongs of that thing gets 800+ degrees in a second, what do you think will happen inside the processor when you accidentally bridge two of the wrong connections leading to it's pins? IMHO, there is no way these things are safe for delicate electronics work. Save them for making antenna connection at the top of a pole, or fixing the battery terminal of your camping lamp (while camping). Otherwise, use the correct tool for the job, which is a real soldering iron.