The manual shows how to connect it up with two and four wires in the box, but how to you wire it up when there are six wires there? Two are for the heater, two for the power in the other two go to another location.

Which stat did you buy, how many wires come out of your wall and what type furnace or boiler? Read post #3 in this trhread https://www.askmehelpdesk.com/heating-air-conditioning/heating-cooling-maintenance-repair-troubleshooting-faq-northerheat-58313.html

The Honeywell Programmable Thermostat Model RLV4300A. There are 6 wire coming out of the wall. It is a Baseboard electric heater.

OK you have the correct stat for electric heat so have you read my link about stat wire colors yet. Here is the manual, talks about 2 wire and 4 wire install, no 6 wire? http://www.smarthome.com/manuals/300628.pdf