Typically heat is a bad idea on a sprain. Cold is what you want. You want to keep inflamation down. Heat will make it feel good until you get the heat off of it, then it will cause more swelling.
Ice (do it when you can, no direct cold, use a towell or something)
Elevation (get it above your heart/chest)
Rest (stay off of it)
I would also take some ibeprofen. It is an anti-inflamatory, helps with the pain, reduces swelling, etc. Be carefull that you don't take too much over and extended period of time. Extended use of ibeprofen is VERY hard on your liver and kidneys.
Go see a doctor if it continues to bother you, make sure you didn't do further damage. Sometimes the only way to know is from an X-ray or MRI.
Your doctor will also be able to prescribe you other medication that will be easier on the liver/kidneys if you need them for extended periods of time.
You might consider taping or investing in a good ankle brace to prevent re-damage.