Look at the new chain:
- If it is continuous, with no master link, install as-is when you
install the sprockets.

- If it has a master link with a slide-on retaining clip, install
chain, insert master link and slide the retaining clip on the notches
of the master link with the open end away fron the direction of chain
travel.  Be really, really sure it is snapped into the notches
correctly

- If the master link does not have the slide-on retaining clip, the
tool you need is called a chain breaker and is used to press out an old
link after you grind the head off of the pins.  It also expands or
rivets the ends of the pins of the new master link when you install it.
Motor cycle shops sell this tool and many will rent it or do the work
cheaply.  Otherwise, the two-hammer method works but be careful you
don't maim the chain or get the link too tight.

Make sure the chain timing is correct , keep the chain clean, and you
probably want to remove the chain tensioner when you do this.