To set up your Ledger hardware wallet, visit ledger.com/start. Begin by downloading the Ledger Live app compatible with your operating system. Open Ledger Live and follow the step-by-step instructions to initialize your device. You’ll need to create a PIN code and write down your 24-word recovery phrase on the provided recovery sheet. If you are restoring an existing wallet, enter your recovery phrase when prompted. The app also guides you on how to install the necessary applications on your device for managing different cryptocurrencies securely.