Your new shower head probably came with some teflon tape. This helps keep it from leaking. You will put it on now. You will wrap it clockwise around the very end of the pipe (as shown). It won't stick well, so you have to wrap it a couple a times before you pull it snug. Here is photo.



Now, you will screw on the new shower head. Start by putting it on by hand. Turn the showerhead clockwise. It should screw on easily for the first two turns or so. If it doesn't go on easily, back it off and start again making sure you are screwing it on straight. This is the only area where you can get it wrong. It is important to screw it on straight without "stripping" the threads.

Once you have screwed it on as far as you can by hand, it is time to grip the pipe with the pliers again and to tighten it down with the wrench. When it is tight, you are done. Congrats.