(continued ...) case, you should enlist the help of a professional electrician. Control power comes from either or both of the furnace/boiler and the air conditioner or heat pump. For whatever type of system you have, locate your breaker box or fuse box and turn off the appropriate breaker or pull the appropriate fuse. Use a volt meter to verify the power is off.
Examine your current thermostat. You need to get the cover off, have access to the control wire terminals and dismount the unit from the wall. There are lots of possibilities here, so I will talk in generalities. Cover removal is frequently a pinch at the edges and the cover pops off. On some units, there may be a small screw in the bottom that needs loosened. Fiddle with the cover and get it off. Don't worry too much about damage as your intent is to replace it anyhow. Do not disconnect any wires yet. You need to identify which wire is which by looking at how it's wired to your current thermostat. On most systems, there are only 4 or 5 wires: 24 volt supply, 24 volt common, fan, cool and heat signals. Next, use some masking tape and apply a 'flag' onto each wire. There may be spare wires not connected to anything, if so put a tape flag on each of them that says 'spare'. For each wire that is connected to a terminal, look closely at the terminal for a word or a letter. Likely words are 24V, fan, heat, cool and common. Likely letters are R for 24V power, Y for cool, W or H for heat, G for fan and C for common. Newer thermostats may not need the common as they are powered locally by a battery. The programming inside simply switches the 24V power signal to the appropriate Y, H and G as needed to complete the call for service signal. The 24 volt common becomes unused. If so, wrap it with electrical tape so it doesn't short something out later.