Here is a nice installation video of a "Stage 2" C&L cold-air intake system on the 2003 - 2004 Ford F-150, Harley-Davidson edition. The video shows the ECU being pulled and a chip installed, but I believe this kit now comes with a Diablo Sport tuner that will just upload the tune into the ODB port. The "Stage 2" kit should add an easy 25-30 rwhp.
A "Stage 3" kit is available and includes a 4lb. blower pulley upgrade on top of the "Stage 2" kit. With the "Stage 3" package installed, the average rear wheel horsepower is increase by 50, with the peak torque and peak horsepower gains coming in at a whopping 75 over stock.