This is a fairly complex operation, and it's not something that should be attempted by someone who isn't experienced with automotive repair. If you're not comfortable doing it yourself, I would recommend taking it to a qualified mechanic.
Here's a general outline of what needs to be done:
1.) Remove the transmission and differential assembly.
2.) Replace the automatic transmission with a manual transmission.
3.) Install the new clutch and flywheel.
4.) Modify the driveshaft length, or install a new driveshaft.
5.) Replace the transmission mount.
6.) Install the shifter assembly and linkage.
This is just a brief overview, and there may be other steps involved, depending on the specific model of Mazda 626 you have. I would recommend doing some more research online or talking to a qualified mechanic to get more detailed instructions.