I'm installing a digital thermostat replacing and old non programmable one. I have 4 wires (red, yellow, green and white) that need to be attached to the new unit but I don't see where the common wire comes from per the new wiring instructions.
What am I missing?
Replacing Honeywell with Robert Shaw unit.

There should be labels on the old Honeywell one where each wire is sticking in. What is a common wire?

Post a picture and this would help greatly to solve your problem.

A blue wire. Most thermostats don't need the common. Some run on batteries, and some manage to ground themselves through the white without activating the furnace. If the furnace is in an unfinished area either above or below the thermostat, it may be fairly easy to fish a new wire through to the thermostat. You might even be able to use the 4 wire cable to pull in a 5 wire one.

Consider returning the Robert Shaw unit and buying something that doesn't need the common.

I have a RiteTemp one and I use a G, Y, W, and RC (I live in Florida - we use this thing called air conditioning in the winter). Programmable.