It's pretty easy to set up. You need a wi-fi device - an Apple or Android tablet or phone - you connect to the Alexa produced wi-fi network, and then use the free Amazon Alexa app to complete the set up and link to your free profile. If you don't already have an Amazon account, you create a free one - this stores your profile and the "skills" you want your Alexa device to access (custom sounds, radio stations, commands, etc).
If you download the Amazon Alexa app first -- this walks you through all the steps making it even easier.