If you are a citizen of a country that is part of the Schengen Agreement, you do not need a visa to visit Liechtenstein. However, if you are not a citizen of one of the countries that is part of the Schengen Agreement, or if your passport does not have a valid Schengen visa sticker in it, then you will need to apply for a visa before travelling to Liechtenstein.
The application for a visa can be made at any competent embassy or consulate in your home country. The application form will ask for your travel dates, destination, and purpose of travel. You will also be required to provide evidence that you are eligible to visit Liechtenstein (e.g. a valid passport).