1. Since you are intending to plant this live tree in your yard, make sure it is a species that is adapted to your climate. Sometimes live trees are shipped outside of their natural area and may not be appropriate for growing in your yard. Any good garden center should be able to tell you if the tree you have in mind is adaptable.
2. If your area is cold enough for the ground to be frozen after Christmas, you should dig the hole for your live tree before the holiday; fill it with leaves to keep it from freezing.
3. When you get your tree, store it in an unheated but sheltered area such as a garage or porch, out of the wind and sun. Do not expose your tree to freezing temperatures at any time.
4. THIS IS IMPORTANT - Your live tree should not be kept inside your heated home for more than ten, and seven days is better, so plan accordingly.
5. Water is critical to keeping your live tree free of stress. The root ball or soil should be kept slightly damp but not flooded. Wrap the root ball or the balled tree in a plastic or is some kind of tub while it is in the house and can still be watered.
6. Decorate the tree carefully, and do not use any lights that give off any heat.
7. When you do take the tree outside again, take it back to the sheltered area first for a few days and then you can move it out into the cold cruel world.
8. Plant your tree. Remove the burlap and strapping being carefull to dislodge as little dirt from within the root system as possible. Earth removed from the original hole should be back-filled around the root ball. Mulch heavily over the top of the planted root ball to prevent it from freezing too quickly. Water so the soil is moist but do not flood the tree or it will die. For more information see the file on Planting Shrubs
9. You may wish to stake the tree to prevent wind tipping or damage during that first growing season.
For a little bit more info here is a column I wrote recently:
Watering Cut Christmas Trees
There are a few tricks to making sure your cut Christmas tree does not get dry and begin to (drop)needles before New Years. The critical step in setting up a cut tree is to first saw about a half an inch slice off the bottom of the trunk jest before setting the tree in its holder. The tree cannot absorb water in the holder if that slice was not taken first.