First place your power supply at the back of your computer case. Standard power supply should have their fan toward the outside of the case. You will have to tighten your power supply to the case with 4 screws.
Then you must make the connections to your motherboard. Here are the typical connections.
Older motherboards use a 20 pin connector, slightly newer motherboards have an extra 4 pin connector. Nowadays, motherboards have simply a 24 pin connector. Look on your motherboard or see your owner's manual.
Now connect the power to your floppy drive (if you have one)
Finally connect the power to your hard drive and CD/DVD ROM.