To set up your Ledger hardware wallet, visit ledger.com/start. Begin by unboxing your Ledger device and connecting it to your computer or smartphone. Download and install the Ledger Live app from the website. Follow the on-screen instructions to initialize your device, which includes setting up a secure PIN code and writing down your recovery phrase. This phrase is crucial for recovering your wallet if needed, so store it safely. Once the setup is complete, use Ledger Live to manage your cryptocurrencies, install apps for different coins, and ensure your assets are secure.