When the Setapp installer is downloaded, you can easily launch the app (usually, it is automatically saved to your Downloads folder):
- Double-click 'InstallSetapp.zip' to extract the Setapp installer ('Install Setapp.app').
- Double-click 'Install Setapp.app' to download and automatically install Setapp to your Applications folder.
- When the installation is complete, click Launch.
Now, you can can start using your apps.
Usually, sign-in to your Setapp account is performed automatically, but sometimes you may need to enter your credentials (those you've specified during the registration in Setapp). Alternatively, you can use your Facebook or Google account to log in to Setapp.
If you are new to Setapp, click Sign Up in the upper-right corner of the Sign-In dialog. More information about registration is here.