The shower faucet assembly comes as one piece--the two faucets connected to the cross in the center--and the kit will also come with the shower head parts. You supply the long vertical section of pipe to connect the showerhead and the cross, as well as pipe to cap off the bottom of the cross. If you go to a hardware store they can help you, this is the one plumbing job I've done and got a lot of help at Home Depot.
The trick in your situation will be attaching PEX pipe to the attachment points on the new shower faucet. I don't know exactly how that's done... it might depend on the shower faucet you get.