Cotterell, the thin ( quarter inch thick) paneling is made to be put over drywall. While the 3/8" thick paneling is self-supporting and can be put up right over the studs, the 1/4" thick paneling needs the backing and support of the drywall.
Use a stud finder and mark out the stud locations then start nailing. On paneling that has "board and batten" gaps or Vee grooves every so often, the grooves are made to fall over stud locations on 16" centers. You might have to saw off a little from the ends of the panels to get the locations to match. Then you use dark colored panel nails so the heads are hidden in the dark grooves. With light colored paneling, use matching colored nails and some panel manufacturers make a tape that matches the panels that you put over the nail heads to disguise them. Panel nails (and the tape) should be available where you bought your paneling.
About the only place where it gets a little tricky is at light switches and electric plug locations. On the front of the panel, lay out where these fall measuring from the last panel edge, drill a starter hole and use a saber saw to cut the openings. Paneling manufacturers also make matching moldings for base moldings, corner moldings that cover nail heads, cove moldings and around windows. Or you can use wood moldings for this and paint or stain as you desire.
Have fun and you can easily change the look and feel of a room with new paneling. Henry in MI