Funny enough, I JUST did mine the other day, so it's pretty fresh in my mind. It can get a bit fiddly, but for me at least there is a bit of technique involved.
--Assemble the header pipes to the collector. If it's the first install, tighten the header-to-collector clamps enough to keep the header attached, but not necessarily all the way- a bit of slop is nice.
--Loosely bolt the collector box part of the header assembly to the frame. Don't tighten, leave it free to rotate.
--Make sure the header collars are slipped on the pipes.
--I forget if I attached the pipes started outwards and worked in, or inwards and worked out. Inwards working out may be a bit easier.
--Make sure the collars are either raised far enough that they won't get stuck on frame or engine parts later, or if they won't, feel free to let them fall. You'll get to them later.
--Starting with one header close to the engine, slip a copper header gasket (flat side of gasket to engine block) between the header and block, pinning it with the header pipe when it slides in. Hold it in place.
--Slide the collar up (it's not getting caught up on the engine, is it? Good!) towards the block. Get it about 2 inches away from the header studs, preferable on the straight part of the header just past the bend.
--Pop a pair of the... shims, I guess? (the parts that go between the collar and the header pipe) into the collar. The groove in the collar will hold them pretty well, and if you're on the straight part of the header, you can put the first one in front and rotate it around to the backside, making room for the second.
--Slip the collar-and-shims up onto the studs. You may need to shake things to get everything to seat properly.
--Put the nuts on the studs, but just enough to get them started. 1 full turn is really all you need. You can let go of that header now- it's not going anywhere.
--Repeat this with the other two pipes. Keep everything loose, and that should give you enough slop to get everything in place without falling apart.
--Once everything's together (loosely), slowly tighten each nut evenly across all three headers, again giving the assembly a good shake to make sure everything is seated correctly.
--Once the headers are tight, tighten up the bolt by the collector.
And you're done! Muffler's are straightforward, so that part's easy. There is a few fiddly parts where you have to put on the collars while making sure the header pipe doesn't go anywhere, but even holding the pipe up with a leg is usually enough- just lay all your parts out within reach before starting.
Good luck!
