How does one install a water line to a refrigerator for water and ice making?

Usually there is a kit: See ice maker install kit - Google Search

Note the YouTube video in the list of links.

If you have PVC pipes, the saddle valve doesn't work.

Some people add a filter for their water and ice maker. Lots of different types available.

First off.. ice makers are best under the counter. Inline filters are good, and should be used with the refrigerators that don't offer filtration. Try to pick a filter where the cartridge can be switched without turning off the water.