When fitting new pedals, identify the left and right pedals through the L and R markings on the end of the spindle. Next identify the left and right cranks. Apply a little grease or anti seize compound to the pedal threads before fitting.
The L pedal has a left hand thread, which means it tightens when you turn it anti-clockwise. Start slowly and by hand, the pedal should thread in pretty much all the way fairly easily by hand. If it doesn't feel correct, stop and double check the pedal is correctly threaded. This is important as a cross threaded pedal could well damage your cranks. The R pedal has a right hand thread, which tightens as you turn it clockwise.
Some old school cyclists say the pedals will tighten themselves as you ride. Whilst there is truth in this (they are threaded this way to prevent pedal force from loosening them) it is highly recommended that you fully tighten the pedals with a pedal spanner before use. They should also be checked for tightness as part of your regular maintenance.