The Heat pump sits outside. Looks like a air conditioner, but it allows the heat to be pulled from outside when it is cold out, and runs like a ac during warmer months. Compare the wire connections and color on the thermostat to what they are like on the air handler. Use a sheet of paper to put down on one side the connections at the thermostat, and on the other the connections at the air handler. From there it should hook up. Also make sure you have batteries installed in the thermostat, and when you make the connections make sure the power is shut off on the air handler, so that you do not blow any fuses.
Once connected, going through the programming is all you have left to do.