With UCCX there is no separate Finesse installation, it gets installed with the UCCX software as it all runs from the same server.
With UCCE you can follow Finesse install guide:
https://www.cisco.com/c/en/us/td/docs/voice_ip_comm/cust_contact/contact_center/finesse/finesse_1201/installation/guide/cfin_b_cisco-finesse-installation-and-upgrade.html
But before you do, make sure you read UCCE SRND to understand the architecture and how Finesse fits into it.
For configuration details follow appropriate Cisco guides, if you have specific question about specific configuration items let us know.
