Locate the wall studs in back of the drywall with a stud finder. Mark the studs' locations on the drywall with a pencil.
Cut a hand-sized hole in the drywall between the two wall studs with a drywall saw. The exact size of the hole does not matter. Remove the cut-out drywall square.
Slip a hand into the hole in the drywall and feel around the void for hidden obstructions, such as wires or plumbing pipes. If the void contains any hidden obstructions, either choose a new location for the recessed shelf or call the appropriate contractor to move the obstruction.
Measure the outside of the recessed shelf's insert. The shelf's insert slides into the drywall, and its frame butts against the drywall.
Transfer the recessed shelf's insert measurements to the drywall, keeping the insert's vertical sides between the wall studs. Draw the insert's outline on the drywall, using the transferred measurement marks as a placement guide and a 4-foot bubble level as a straightedge.
Score the drywall's paper surface with a utility knife, following the insert's outline. Cut out the shelf's outline with a drywall saw. Remove the drywall cutout.
Slip the recessed shelf's insert into the drywall cutout until the frame touches the drywall's surface. If the insert will not slide into the cutout, trim the drywall as needed with the drywall saw.
Run 1 1/4-inch drywall screws through the recessed shelf's pilot holes on each vertical side of the insert. Tighten each screw with a Phillips screwdriver.
Apply a bead of latex caulk around the seam between the drywall and the edge of the recessed shelf's frame.