I recently installed the same thermostat. The users manual and wiring diagram for your Honeywell thermostat are online at
You need to open up the thermostat (separate teh front cover from the back) to see wiring connections and battery slots. Your wiring appears to be Trane American Standard and you wire:
R = R
W = W2
G = G
Y = Y
Your display will come on when you restore power to the furnace / thermostat. My thermostat takes 3-AA batteries on the right hand side of the inside case.