Installation of most water softeners requires good knowledge of plumbing. So, unless you are an experienced handyman, you might as well let either the dealer or a plumber do the installation. Most brand names (e.g. Culligan, Kinetico, Rainsoft) will do the installation for you (at an extra cost of course). If you buy your system from Sears or Lowe's then they will have a delivery and installation service which you can use. Or you may opt to hire a plumber to install it for you if you know a reliable plumber who already has experience with water softeners. In most cases, the cost you are looking at is $150 and up, which is still cheaper than having a mess cleaned up if you do it yourself and don't know what you're doing.
If you want to give it a shot yourself, then make sure you read the installation instructions for your specific model carefully and also take a look at this website for videos and general advice on how to do the installation.
If you bought a magnetic water softner like the Z78, then the installation is fairly straightforward and you should do it yourself. The Z78 comes with 2 magnet pairs, one for the main water line and one for the hot water, and installing each is pretty simply. You just need to put it on the water pipe and clamp it tight. It takes one minute. Install one pair on the main water line before it is split, and one pair one the water pipe coming out of the hot water heater. Most other magnetic and electronic water softners I came across have only one magnet, so make sure you install that on the main line before it splits off to the water heater.