There is protective film on both sides of the visor that should be removed. It’s a little hard to peel off at first, esp if you use your fingernail. We have resorted to using a knife to pull the corner off. Once that’s free, the rest of the film should come off easily.
As far as assembly, you’ll notice the headband has 4 U shaped notches that fit into the visor. We’ve found it easiest to align the visor (looking at in) “rounded side down” and attach the visor starting with the smaller hole, then snapping each notch on towards the larger hole. Some of them take a little bit of force to ensure they don’t easily snap off in use.