First, be aware that there are two types of pedals -left and right- they are not the same. The left pedal is a left hand thread, and the right a right hand thread.
Second, grease the threads of the pedals before you screw them in. This will allow them to screw in more tightly and more easy, as well as remove easier.
Three, use a pedal wrench. They need to be on tightly to hold up under pressure.
To install the left pedal, it screws in counter clockwise. One thing to be aware of is that not all pedals have pedal flats, which are used to engage the pedal wrench. If they do not have flats, look to see if there is an allen bolt to tighten the pedals with.