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What is the model and is this a new heater?
OK you should have detailed instruction book in the box is why I asked. If you have not had a heater in the location before, it will require cutting hole in wall, and running gas to the heater.Is there any thing in particular you have questions about the installation?I will be happy to guide you, but of course can not tell you every step in a simple one paragraph answer.
Here is a sample of the instructions>http://www.alpinehomeair.com/related/Williams_Forsaire_Counterflow_Installation_Instructions%202.2014.pdf
Look them over and let me know how I can assist you and any particular questions you have.
Installation will vary slightly based on exact model in the 4000 series.