The stepped cavitty tray consists of a length of steel with a cross section similar to a straightened out Z. The top flat sits in a mortar joint in the inner leaf, and the bottom flat, sits in a (lower) mortar joint in the outer leaf of the wall. To get this in place requires the removal of bricks above the line where it has to be inserted.
If this is for just a short length (say over a doorway), It can be carried out fairly simply, by removing the bricks, raking out the joint on the the inner skin, sliding the cavity tray into place, and replacing the bricks on the outer skin.
A longer tray is a different kettle of fish altogether. The amount of brickwork to be removed would seriously weeken the structure of the wall. Shoring up of the wall will therfore be required. This puts it firmly outside the scope of a DIY job.
At the end of the day, how it is achieved is dependant on its length, position, the proximity of any adjacent opeinings in the wall etc.. We would really need more details.
Just in case we are talking at cross purposes. It's possible that you're having a conservatory built using a cavity wall construction and a cavity tray placed above a one of the conservatory's doors or windows.
Can you give more information about where this cavity tray is to be put?