Okay. To set up a fish tank protein skimmer, the obvious recommendation is to look at the instructions. I don't advise the challenge of setting up a skimmer without having instructions.
That being said, the things that you want to keep in mind when setting up a protein skimmer is where the effluent releases on a skimmer, as most skimmers -- even the best ones out there -- always release fine bubbles back into the water. So if you have a hang-on protein skimmer, or if you're setting your skimmer on a shelf above the aquarium and letting the water dump back into the tank, you're going to have a problem with fine bubbles.
That being said, I recommend going with an in-sump protein skimmer. They utilize much more efficient pumps, so you don't have the high electric needs and the high heat output that you would have associated with an external-type skimmer that relies on pumping the water up into the skimmer. I also recommend that the skimmer sit inside the sump, and preferably in the beginning stage of the filter, so that all the fine bubbles get filtered out by the sponge and the pre-filters before they get pumped back up into the aquarium.
But to set it up is very basic. Most of them only have a few parts. There's usually a main body, a pump, a few gaskets, an upper assembly that will be your collection reservoir. Sometimes they have a little spout that you stick your hose on to drain the waste -- or the skimate, as it's called -- to go into a collection cup. But all these skimmers nowadays are very easy, very straightforward to set up.