Not sure what you mean by 'set up' private messages. It just comes with your account. Nothing to setup. All you have to do is go into your user profile (User CP) or click on the red 'private message' link in the top right corner:
From there you can compose or read your PM's. To create a new message, look on the menu on the left side and you should see a section called 'Private Messages', its the 4th one down. The 2nd option in that little section is 'Send New Message'. From there, you compose your PM much like you would a regular post, only you have to include the recipient's user name in the top box.