The first thing you need to do is to decide where you will place your programmable thermostat. You will need a place which is away from direct heat or cold and not where any vents or sources of energy can directly affect the sensors. Secondly, learn how to install the unit before you actually try; in other words, read the directions. These units have from two to ten wires depending on the model selected. Be sure to power down electricity in your area of the house before beginning.
Still not sure you are up to the task? Call in a certified HVAC professional for peace of mind and possibly less headaches. Lastly, if you are switching an older thermostat (with mercury) be sure to use utmost care and have it discarded according to your local recycling/hazardous materials center guidelines.