Preparation
Identify where all the major components are going to go. Find a good place to situate the control panel, this should be somewhere easily accessible for people coming in and out of the door, but it should not be easily viewed externally, otherwise a potential burglar will potentially be able to identify your security system and disable it. Then the sensors need to be placed appropriately, they should not be in obvious locations otherwise the burglar upon entry will be able to break them and potentially disable them.
Installation of control panel
The control panel will need to be wired into an outlet. This should not be plugged into a socket, otherwise it can easily be disabled by unplugging it. It is possible to get a system which runs on a battery in case it becomes unplugged, then this may not be such an issue. If the system is a monitored one (e.g. one which is connected to the phone line and will phone home if there is an unwanted entry) then the system will need to be hooked up to the phone.
Installation of the siren
Generally the siren will be programmed with a specific house code which matches up to the system, then it will need to be connected to the electricity supply.
Installation of sensors
This depends on which sort of sensors are being used with the system. In the case of a perimeter sensor, then a magnet is attached to the window or door, while the transmitter is attached to the frame of the door or window. Other types of sensors are easier to install as they just need to be set up within the room, however it is best to place them not in plain site as otherwise they are an easy target for the thief to disable.
Test the system
Finally it is paramount to test that the system works. Generally the system will come with a test mode which should be fully run through to ascertain that the system is functioning well