To setup your Amazon Echo, you'll need to either download the Alexa app onto your smart phone/tablet or it can be setup via a web browser on a wifi connected computer. Once downloaded/on web browser, connect the power cable to your Echo and wait for the light ring to change from blue to orange. From there, it walks you through setup in the app/browser from connecting your Echo to your wifi all the way to giving you some quick tips and giving Alexa a little 'Voice Training' to learn how YOU speak so it can better understand you. It is a very straight-forward process - they've made it really simple to get started.
Just make sure your Echo is in a central location, at least 8 inches away from any walls or windows. If you find that Echo doesn't hear you clearly or you'd rather it be in another room, it can be easily unplugged, repositioned, and plugged back in without needing to be setup again.