Do I need to build walls to install and how do I fasten it in place

Yes, you will need walls, the unit should come with installation instructions which will have the rough dimensions and fastening requirements.

Amricca is right on, you need a nailing surface for the nails around the trim of the unit. You also need to lay a bed of modified thinset or suitable compund under the unit to stop flexing and sqeeks. If you go down this road let us know and we can help with the install. If there never was a shower or tub in place you'll need a trap and drain line, we can do that too.