Blimey.
I strongly suggest you join your local association and get a good mentor. Someone will be free the day the nuc arrvies and will help you. Ted Hooper's book has a whole chapter on it.
In short what you need to do is (there is more to it than this, so please get a good book and a mentor. I am sure others will be along to give you more appropriate advice too):
Get the nuc where the hive will be, then leave it there with the bees flying for a while (hours or days).
When you are ready, move it to one side, put the hive brood box there with a couple of frames of foundation in it (different people put them either side of where the nuc frames will be, or both on one side. Your choice). Carefully move the frames from the nuc to the brood box (keep them close, so if the queen is clipped and dropped it's not a complete disaster) keep the same order and orientation as in the nuc. At the edge of the frames but a dummy board, leave the rest empty. Later you'll add more.
Put the now empty nuc in front of the hive. You should see bees fanning at the hive entrance if all is well.
Feed, put the hive back together. Leave alone for a week.
A quick google will show you some youtube videos, and there are some blogs where people show it done too.
Trust me - it's less stress with a mentor.