You don't typically need a membrane under a premade pan. What you DO want is to set that pan in something to fill in the gaps between where it want to be and the floor so it doesn't flex every time you step in it or move around. You can use what is called deck mud (a mix of sand and portland cement) or other things. Your instructions probably list a couple of possibilities and say it is optional...it shouldn't be - it should be mandatory.
What you do want on the walls (are you going to tile the walls, or are there panels you bought?) is something that is waterproof and that will direct any moisture into the pan so it can drain. If you are going to tile the walls, check out www.johnbridge.com.
The drains that typically come with some of these pans are somewhat of a pain. You basically get one chance to set the pan in place and make the drain connection...measure and dry fit things to make sure everything is where it should be.
Make sure that the shower pans edges are level when you are done...the deck mud will help you do that as you smush it down into the deck mud.