did the dash kit include the wiring harness? Most of the time they don't. Make sure you get it, and it is different if your Explorer had premium sound or not.
That will take care of most of the connections but since your unit has a screen, there's going to be a couple of other connections you'll have to make yourself, like the parking brake wire and such.
To remove the existing radio, you need to get removal tools from a car audio or electronics place, or even Walmart or BestBuy