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Turn off the water supply. In most cases you'll find a shutoff valve behind the refrigerator.
Find a convenient place in the supply-line tubing and cut it. If the line is plastic, all you'll need is a knife. If it's copper, use a pipe cutter. File any rough edges.
Insert the supply side of the tubing into the end of the filter unit. Make sure the directional arrow on the filter matches the flow of water. Most of these filters have self-sealing fittings, so all you need to do is insert the tubing all the way in, pushing firmly until it bottoms out.
Place the filter in a bucket and slowly turn the water on at the shutoff valve. Because this type of filter may contain carbon to help reduce odors, some carbon dust will probably flow out of the filter at first. Allow water to run through the filter. Once the water runs clear, turn off the water.
Insert the end of the other portion of the supply line into the "out" end of the filter. Once both fittings are secured, turn the water back on and check for leaks.
Tip: If the supply line from your icemaker originates under the sink, you may want to install the icemaker filter there. That way you won't need to move your refrigerator each time you change the filter.