Assuming that you are a beginner and new to the hobby of flying remote control helicopters, chances are you purchased an electric model that was advertised as "Ready to Fly" or RTF. Any of the main brands such as e-flite and align produce quality helicopters and they will be RTF once the battery is charged, however you may need to make some small adjustments.
If you have purchased a "Plug N Play" model the chances are you will already have experience flying remote control helicopters. That does not mean that the setup time for a new helicopter will be any less. In fact with a PNP helicopter you may need more time before taking to the air. As well as programming the TX, you will also have to fit the RX and motor radio controlled helicopter battery pack.
The main point that needs to be stressed about the set up process is that it takes time. Do not, under any circumstances, try to rush the process. Take time to get to know how your new helicopter works. Remember you bought the helicopter as a hobby. It is meant to be enjoyed, not just flown once, crashed and disposed of.
First off, don't assume that the helicopter has arrived in one piece. It does not happen often, but there is always a chance that the model was damaged in transit. Even if you purchase the helicopter from a shop you should always check that all the parts are included and not damaged in anyway.
The next task on your list should be to check the batteries and how they are to be charged. Most RC helicopters come supplied with Li-Po batteries. These are usually charged using a specialist charger that comes with the helicopter so do not rush ahead and try to charge the batteries with a charger you have lying around the house.
When flying remote control helicopters, safety should be your top priority. The same applies when you are setting up your helicopter, particularly when fitting a charged battery. Be sure that the ESC and main rotors are not "armed", otherwise the blades may start to spin with your fingers in the way. Do not underestimate the damage spinning rotors can do.
You are probably aware at this stage that the pitch of the blades is changed through movements in the swashplate. As part of the set up process you should check that the swashplate moves as expected when inputs are made to the control system. For example, when you apply left cyclic the swashplate moves to the left.
When checking the control system you should also pay particular attention to the tail rotor gyro. To do this you just have to spin the helicopter around it's vertical axis by holding it between your thumb and fore finger. As you rotate the helicopter you should not the angle of the tail rotor blades changing.
Fixing, upgrading and modifying your helicopter is all part of the enjoyment to be had from owning a remote control helicopter. Taking your time to work through the set up process not only ensures that your helicopter will work properly but will also ensure that you "get under the bonnet" and into the detail of how your helicopter works.