You have a switch leg, possibly with no neutral in the box.
While the KD-120 can be installed without a neutral, it's not recommended for 'modern' light loads (like LEDs, CFL, etc.), because they often will continue to glow when 'off', due to the necessary current to run the dimmer electronics.
As mentioned above, if you don't know what a 'switch leg' is, and don't know what wire is what, I also recommend you get an electrician.
RyanE