paparazi is dead right.
If you leave the case off, you will reduce airflow over the processor. This is extremely important - especially with Athlons.
To ensure good airflow, you should not only have a processor fan, but at least two case fans - one at the front, near the bottom, sucking air into the case, and one at the back, near the top, blowing air out. If the case is off, the air will not move properly over the components, and they will not be cooled efficiently.
Also essential is good contact between the heatsink and processor. The heatsink should preferably be of a good quality, with a (clean!) copper base.
Also, dust in the case acts as an insulator, as far as heat is concerned, but, paradoxically, can cause minute short-circuits which in theselves promote heat. Dust gets in (and stays there) more easily if there is no constant airflow.
No matter how good the heatsink and thermal compound, if the inside of the case is warming up, it will become less efficient at dispersing heat from the processor. So pay attention to airflow!
I hope this is helpful
