They will install an Ethernet cable (Cat5) from where the phone line enters the house to the set top box (STB). The STB is usually located next to your main TV. If you have any other TVs they will connect your existing coax to the back of the STB.
The main TV can be connected by coax, composite video or S-Video. Audio is either through the coax, stereo (red/white RCA cables) or digital audio. The digital audio is either optical or Coax S/PDIF depending on the box you get.
An Ethernet cable runs from the back of the STB to your router. They will remove your DSL modem and filters.
All of the above assumes you've ordered the regular digital service, not the hi-def service. I would suggest holding off on purchasing a HDTV box since MTS is planning to introduce a totally different platform geared to HDTV later this year.
The standard digital MTS picture is usually slightly better than analog cable. If you currently have a fuzzy or grainy picture you'll notice a big improvement.