Nothing, it's super easy. Unscrew your shower head, screw this guy on, then screw the shower head back into it. As with any item like this, you might have trouble matching up the threads to screw it on - mine screwed on just fine but I don't get a tight seal, so a little water escapes at that end, but not enough for me to be sorry I'm using the item.
Actually calling it a filter is a misnomer, a filter selectively removes (think of a sieve). This item does not remove anything, actually it adds something to the water: it adds vitamin C (ascorbic acid). Adding ascorbic acid to the water neutralizes the chlorine. If you want to know a little bit more about this, look at the page:
I used the Vitashower SF-2 which was larger than the SF-1. The SF-2 lasted approximately 9 months. The SF-1 lasts a little less than 6 months. All of this of course depends on usage. How often you shower how long you shower, how much water you use while showering, and so forth.