The thermostat is just a low voltage on-off switch. There should be two small wires (assuming you are replacing an old unit) coming out of the wall. These could be any color combination. Connect one wire to each of the terminal screws inside the thermostat housing. Replace the cover and turn it to the desired setting. The furnace should now hum happily until set temperature is reached
The `R` terminal on the stat is for the powered wire from the furnace, the `W` terminal is the power back to the furnace to start it those are the 2 to use. If you have 3 wires the third one goes on the `G` terminal, that is to run the fan only if you have a subbase with fan switching (Auto/On) capability. Usually but not always all 3 of these wires will be color coordinated with their terminals (Red,White & Green).