We put one up for our dog. Easy and simple. Read the included directions and be sure to plan where the wire will run, where you want the dog to have access, where you want restrictions, etc. The simplest is a circuit around the perimeter of your property, but you can get more complex by "fencing" off gardens, driveways, etc.
The collar or controller should have settings that regulate the distance from the fence where the tone vs. shock will be delivered, as well as the severity and frequency of the tone and shock.
A common misconception is your dog gets shocked each time it breaks the outer "zone". In our research the dog gets a warning tone from the collar, and if it continues, then a shock is administered and re-administered until the dog leaves the zone. Most also come with a hand-held remote control which allows you to administer tone and/or shock.
One demand I had was that both my wife and I get zapped by the collar before we put it on the dog. Ours had variable settings and on the lowest settings the shock was just a tingle, while on the highest setting it did hurt for a moment, but quickly wore off.
Training your dog is critical to the invisible fence being successful. Use the flags (which should be supplied with your kit) and the training DVD (should also be supplied) to properly train your dog as to where his/her boundaries are. Approach the flags (which should be set at the perimeter where the tone starts, not where the wire is buried), then quickly retreat to a safe distance. Do this multiple times in multiple places around your yard. Too may people just throw the fence down, slap on the collar, crank up the regulator and are surprised when it doesn't work the way they thought it did.
Good luck!