To set up your Ledger hardware wallet, visit ledger.com/start. Download the Ledger Live app for your operating system and install it. Open Ledger Live and follow the instructions to initialize your device, which includes setting a PIN and writing down your 24-word recovery phrase. If restoring an existing wallet, enter your recovery phrase when prompted. The app will guide you through installing the necessary applications on your device for managing various cryptocurrencies securely. Follow all prompts carefully to ensure your wallet is set up correctly.