Some tub surrounds can be purchased as a kit and are designed to be installed around existing walls and tubs. The kit includes panels -- usually made from plastic or fiberglass -- that attach to the walls with adhesive. This type of installation may be more desirable if the walls of your bathroom are in good condition and the existing drywall doesn't need to be torn out to the bare studs.
A more permanent tub surround is one affixed firmly to the wall studs with screws. Of course, this can be done only if your bathroom walls have been torn out to the bare studs or the sheetrock has not been installed yet. Some tubs are available with the surround built-in, while others have separate interlocking panels. Regardless of the type, surrounds designed for new construction have a mounting flange molded into the edge. When the sheetrock is being installed, it can be placed over the edge, hiding the screws used to affix the surround to the wall studs.
Since many tub surrounds are made from plastic or fiberglass, it's advisable to drill a pilot hole in the mounting flange to accept the screws. Driving a screw directly into the flange without a pilot hole may cause it to crack or break. If your surround consists of several sections and not a one-piece unit, apply a bead of silicone caulking at the seams to prevent water intrusion.
Once the tub surround has been installed, the sheetrock can be applied to the walls. When affixing sheetrock to the wall next to the surround, ensure the edge of the sheetrock is placed over the top of the mounting flange of the surround. Keep a ¼-inch gap between the edge of the surround and the sheetrock to allow for expansion. Secure the sheetrock to the wall studs next to the flange, but not through the flange. Apply a bead of caulk in the cap between the sheetrock and the surround to hide the flange, giving a more permanent-looking installation.