Choose "AirPort Extreme..." or "AirPort Express..." or "Time Capsule..." and this will connect your computer to the network. Then, open up AirPort Utility if it hadn't already opened.
For the first step, set a network name (SSID). This should be something easily memorable and unique. For "Base Station Name", this is the name that appears in the AirPort Utility and in the "Shared" sidebar of the Finder (and also in iTunes if you have an Express). For "password", this is the WiFi network password. Make it alphanumeric with at least one capital letter, and at least 8 characters long. This also acts as the "admin" password to access the AirPort Extreme via AirPort Utility.
Now, it's time to wait. AirPort Utility will set up the base station and save info to the station for you, as well as going to your cable or DSL modem and connecting to your ISP's network.