This question is asked every day by countless homeowners, and the answer is a bit more complicated than you might think. In general, most jurisdictions consider it illegal to install a furnace in your home without a contractor’s help.
In some jurisdictions, for example, it is legal for homeowners to install their own furnaces if they are competent enough. This means that you know what you are doing, and you have the necessary skills to do it.
If you are not yet considered competent, or if your local laws don’t make specific reference to this issue, then it’s best if you hire a contractor to do the job.