If your ISP allows you to install it yourself, you shouldn't have any problems. Its pretty simple, but some ISPs require you to buy the modem from them, and require that they send their monkey..er technician, to install it.
As for difference, oh yea, you'll see a huge difference. When I first went from 56k dialup to cable, it was 256k and it was a huge improvement. People with mbit and faster connections will tell you its still slow, but we aren't comparing it to a 1mbit, we are comparing it to a 56k(which is really a max of 53.3k according to FCC regulations)
dl speed with 56k= ~7KB/s
dl speed with 256k= ~32KB/s