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Install the second panel on top of the first one, hammering nails into the side jambs to hold it place. Install the hinges and repeat the process for however many panels are necessary. You will need to anchor each piece into the door jamb.
Once all the sections are secured, install the rollers in the section's roller supports. With these in place, place the rollers in the assembled track, securing the track's brackets as you go along. Be careful not to have the rollers pressed too tightly against the track because friction can cause damage to the door.
With the vertical tracks secured against the jambs, install the curved and horizontal pieces. When installing the horizontal pieces, use your previous measurements and level to make sure the tracks are straight and that they are pointing away from the opening at 90 degrees.
Now that the tracks are secured, assemble the springs according to the manufacturer's instructions. With the help of a partner, lift the door to about half length to make sure the tracks are level and parallel. Once you're all set, lift the door the remaining distance and attach the springs to the pulley system.