With a little practice, installing the cleats on your road cycling shoes will become second nature! Don't be intimidated! Clipless pedals help you ride more efficiently. With clipless pedals, a cleat on the bottom of your shoe attaches to the pedal and let you not only push down on the pedal on the down stroke, but pull up on the upstroke as well! This provides more power to each and every pedal stroke. Cleats come with pedals (not with the shoes). You will need to attach the cleats to your cycling shoes, and doing so correctly is crucial for your safety and comfort when riding.
Check out this awesome video on how to install SPD cleats to a road cycling shoe: