umm im wondering, what exactly do i ahve to do to set it up?
Yeah, just plug it into the Ethernet port of a modem/router with an active internet connection, then just follow the on-screen instructions on Xbox Dashboard.

It's actually so simplistic that I'm convinced a monkey could do it.

Failing that, just read the instruction booklet that came with your console.
Proud owner of an Engl Thunder 50 Reverb and an Ibanez S470

"The end is extremely fucking nigh..."