Check to make sure push pins are oriented properly. From what I have read it is easy to damage the push pins on the vendetta during installation.
One suggestion is to mount the heatsink before attaching the fan as it simplifies fiddling with the push-pins. Once mounted with a reassuring click (times four), the Vendetta is solidly attached and very secure on the motherboard, in either horizontal or tower configuration. You can then attach the small fan, plug in the PWM connector, and power up.
If you don't mind the hassle of removing the motherboard and installing the backing plate, most heatsinks with push-pin installs can be installed that way.
But you shouldn't have to push two pins in at the same time. Get one pin in solidly, then work on the opposite corner. Since most push-pin designs are released by rotating the top of the pin, make sure that you've got it turned the right way before moving on to the next pin. And yeah, attach the fan after you have the heatsink installed.
i7 2600K | ASUS Maximus IV GENE-Z | 580GTX | Corsair DDR3-2133
Receive my OCZ Vendetta 2 & Thermalright LGA775 bolt-thru..It was a pain to install and put everything back again..What a different between the Vendetta 2 heatsink+fan vs the tiny E8400 stock fan..Barely room to access upper-right corner..The 120mm fan is very quiet but I just found the heatsink too huge..Should have use the Vendetta 1 instead..much smaller..