Where did you buy it?
If it's from the usual places you'll need to buy "clips" to hold it, otherwise it'll come loose before you finish the door. If it's from "Mcgregor" it'll hold much better. Either way I used a rubber hammer to lightly tap into place. I usually start at the back of the door opening, where it usually needs to be secured, and work forward.
Good Luck, let us know how you're doing.