You can install a stereo system in a car first by checking whether the stereo you bought has a wiring harness and a dash kit that fits your vehicle. You need to turn off your car alarm and then locate the code from the company which installed it. Check out http://www.ehow.com/how_5767593_install-car-stereo-system.html for more information.
The stereo should have come with detailed instructions and a guide to the color codes of the wires. You will next need to find the wiring that is in the car from the factory and match their function with the wires from the new stereo.
I hope you bought it from Crutchfield! They make it easy. If not, get the people you bought it from to install it. If you can't do that, do some research on the web. ^^^ the answer from oringanay looks like a good place to start. This is not difficult, but you do have to connect the right wires.