>Does this dark matter is the Intel's thermal paste?
Yes.
>Do I just set the fan assably over the CPU?
Yes. You may want to use a credit card edge to spread the paste evenly over the whole surface before doing so. Push the pins through the motherboard and twist clockwise a quarter turn to lock them.
>Do I need to use some other thermal paste?
No, though enthusiasts tend to use their favorite, Arctic Silver.