To set up your Trezor device, visit trezor.io/start. Begin by connecting your Trezor to your computer using the provided USB cable. Follow the on-screen instructions to install the latest firmware. Once the firmware is installed, you will be prompted to create a new wallet or recover an existing one. If creating a new wallet, make sure to write down the 12 to 24-word recovery seed and store it in a secure place. This seed is crucial for recovering your wallet if your device is lost or damaged. Follow the setup steps to complete the process and start using your Trezor securely.