You have to do some cutting of sheetmetal to widen a hole where the stock intake was to get the tube down behind the bumper/fender. You also have an intake temp sensor that needs to be dealt with. Some guys let the sensor hang there but others have an engine light come on becuase of that. I'd recommend cutting a hole into the intake piping just before the MAF to mount the sensor.
I'd suggest buying a used one or just buying the cheapest new one that's out there. Place Racing is about the cheapest. It's just metal tubing, a filter and a MAF adapter so as long as a used one is cheap and in decent shape that's what I'd look for. You'll have to check around for a good price. Don't know if www.nopionline.com has them or not, but they'll likely be the cheapest. Also check www.ptuning.com I know they have them but not necessarily cheap. www.motivational.net might have them at a decent price.
I wouldn't recommend taking the splash guard off. I don't think it restricts airflow much and your filter will get dirty as hell quick from your wheel throwing shit at it, not to mention you'll have to worry more about it getting wet. I didn't take mine off on my XE and I won't on my SE-R either.