Unlike installing a faucet for your kitchen sink or basin you will find that this is much more difficult. To do this job you will need a Allen wrench, multi-head screwdriver, adjustable wrench, copper cutters, torch, fire-resistant shielding, and possibly PEX cutters and crimpers.
To change out the shower tap you will need to get access to the back of the shower. If you are going to tile the front you can get access from the front and do the job that way. As most showers do not have shutoff valves you will need to shut off your main water supply and drain the water lines in your house.
Now take off the handle and the face plate of the faucet.
Next cut into the wall from the front or back of the shower. You will need a hole large enough to cut the old valve out and to get a torch in to solder the new faucet into place. If the house is newer you might have PEX water lines, but you should still have a copper riser to the showerhead.
You will want to solder copper tube onto the fitting that you are going to thread onto the faucet, unless you buy the sort of valve that requires to solder straight to the faucet. If this is the case make sure to take the stem out so you do not have any problems later from melting the internal parts.
Once you cut out the old shower valve you will need to measure to make sure the new faucet will fit into place. If not you will need to cut the front of the shower to make this fit properly. Place Teflon on the threads before threading the brass by copper or brass by PEX fittings onto the faucet. In some cases a shower valve is meant for both a shower and a tub/shower installation. If this is the case there should be a brass plug to thread into the bottom of the valve.
Secure the faucet tightly to a piece of wood or 2by4.
Once you have the new fittings in place then place the faucet in the location of the old faucet. Now solder, or crimp the water lines onto the new unit. Take off the old showerhead and place a nipple and cap into the female joint. Now shutoff anything you opened to drain the house and turn the water to the house back on. Check for any leaks. If everything is good go and turn the water back off and drain the house. Then take off the nipple and cap and place the shower arm and head into the female thread. Install the faceplate and the handle and turn the water back on. Make sure the handle is in the proper location. If not, take the handle off and rotate.
If you had leaks you should shut off the water and repair then test before putting on the handle and faceplate.
If your old shower was a two handle style and you are installing a single lever style then you will need to put in a plate that will cover the holes of the old faucet. This is sold by Delta at most hardware stores.