Dig out the area of the walkway to a depth of at least 5 inches. Make sure there is enough room for a couple of inches of gravel or sand, plus the depth of the interlocking stones. Check that it is level regularly, using the laser level.
Lay down landscaping cloth over the entire area. This will help keep grass and weeds from growing through the walkway.
Pour in 2 to 3 inches of gravel or sand and compact it thoroughly. Check that the area is level as you work. This step is very important because the gravel is the base for the stones. If it is not thick enough, compact enough or level, the walkway will not last as long as it should. If you wish, slope the walkway down slightly toward the sides to allow for water drainage. It should also slope away from the house.
Lay a frame of pressure-treated wooden boards along the edges of the walkway. This will help the interlocking stones stay in place. You should use pressure-treated boards because they will remain as edging for the walkway and must be able to withstand moisture from the ground. If your walkway is curved, you can purchase edging to accommodate the curves.
Lay the stones in the pattern you desire, pressing them together as you lay each one so they interlock properly.
Sweep sand in between the interlocking stones and mist lightly with water. Allow to dry thoroughly. Repeat this step several times until the sand reaches the top of the interlocking stones and has dried hard.