Okay, this isn't such a hard installation. The main things to be aware of is that there are no electric or water lines behind where you are going to open up the wall. Even if you do not damage them cutting the drywall open they most likely will interfere with the safe placement.
Get yourself a stud finder to determine where the studs are at. Most likely the safe is designed to mount between two studs. Using the stud finder mark the area to be opened up. You can use a utility knife to cut the drywall. Or you can use one of the roto tools on the market. There are even small drywall handsaws that you can use. Any time you cut drywall you are going to have dust. I have never cut through conduit or water pipe with a hand tool yet (knock on wood), but have done some damage with powered ones.
Generally any safe that you buy for homeowner installation should have instructions and maybe even a template for the size opening to cut. Also before you even purchase the safe make sure of what the inside wall thickness (space) actually is.
Your life, liberty, and property are never safe when the Legislature is in session. M.Twain