Remove the old door, door frame and casing. Use a screwdriver to remove screws, a hammer claw to remove parts that have been nailed into the rough opening, and a paint scraper to scrape off any old caulking in the now empty doorway.
Measure the width and height of the rough opening, then measure the width and height of the pre-hung door case. Calculate the difference between the width and height of the rough opening and the door case in order to determine what size lumber must be used to fill in the rough opening to a size that will hold the door case.
Measure the lumber that will fit into the doorway to make the rough opening the appropriate size to hold the door case.
Cut the lumber to the appropriate length to fit in the rough opening. If the inside of the rough opening is brick or cement blocks, use cement screws to attach the lumber to the rough opening. If the inside of the rough opening is wood, use standard screws. Drill pilot holes before inserting the screws, to make it easier to screw the lumber to the rough opening. Use a miter saw to cut the edges of the lumber so that they fit together at a 90-degree angle at the corners. Level the sill before you screw it into place, and insert shims under the sill to level it as needed.
Apply a bead of caulk all the way around the wooden frame you just screwed into place. Place the bottom of the pre-hung door case into the rough opening, then tip the door case into place. Screw the door case into place. The manufacturer's instructions will tell you where to insert the screws; this will vary by door. Use the screws that come with the door for this.
Seal the exterior spaces between the brick and the door frame with caulk, and caulk the edge of the door case from the inside.
Insert expandable foam insulation into large gaps between the door frame and the interior wall, then nail trim around the edge of the door to cover the insulation.