Have not installed one myself but I understand that you put the rubber on the windshield, then the chrome strip, and then install the whole assembly in the window opening.
^^This is exactly correct.^^ I'd add that the shop that installed mine taped it onto the windshield a couple days before installing it into the truck.
Shop around for an installer that knows how to install it. Some shops will flat out refuse, and that's better than having someone "take a stab at 'er". You want the guy that immediately and confidently tells you he knows how.
I polished my stainless trim before it was installed as it's the only way to get it done properly.