Pull up the old threshold if there is one. Unscrew the screws with a drill; if it is nailed in place, use a pry bar to loosen it. Scrape off any caulking with a putty knife so that you have a clean surface for the new installation.
Lay down a layer of construction paper, also called felt, then place the flashing down on top of it. Trim the felt to fit the opening.
Bend the outer edge of the flashing up, and place a bead of caulking underneath. Bend the flashing back down onto the bead of caulk. Run another bead of caulk along the back side of where the threshold will go.
Place down the new threshold over the top of the flashing. Screw it in place with 3-inch screws.
Run a bead of caulk along the side edges of the threshold, and let it dry.