I have recently begun mining myself so hopefully I can give you some insight to what the process is like from a fresh perspective. Setting up Bitcoin is a strange way to word a question, and it leads me to believe that you do not fully understand Bitcoin; I would suggest you read the Bitcoin Whitepaper, Satoshi's original E-mails and whatever you can about the technical aspects of Bitcoin. If you mean how can you send and receive Bitcoin, then you need a wallet of some kind (Hardware, software, paper) or you can put your trust exclusively into an exchange (not recommended).

I'm not going into a large explanation about Bitcoin mining, you can read more about that on wikipedia or something like that; I will say that it uses the computational power of your GPU, CPU or ASIC technology. Meaning, you would need a CPU, GPU or ASIC hardware (like a desktop computer) and download mining software. Once the mining software is installed, it's mostly just keeping the hardware cool.

I bought a 1080TI GPU, put it in my desktop, then downloaded NiceHash software and made an account on NiceHash. Now I just leave my computer running, it mines alternate coins and converts them into BTC automatically. It is profitable if you buy the right equipment and run the right algorithm.