Installing wainscoting panels requires a fair amount of preparation. Prefabricated panels come in finished and unfinished varieties. You may opt to pre-finish the raw panels before installing them, or you can paint or stain them once they're up.
Remove all baseboards and power outlet covers from the walls. Move any furniture or appliances aside. Locate the studs in each wall and mark a chalk line indicating the high point the panels will reach along the wall. Affix the panels using either PVA wood glue or a polyurethane glue and set finish nails through the panels into the studs. Since you have to cover up nail holes anyway, you might wait until after the panels are up to paint or finish them. Leave a small gap between each panel in which to caulk and allow room for the panels to expand.