Setting up Xbox Live for the first time correctly depends on whether you are using a wired or a wireless connection. If using a wireless network, you need to connect a wireless adapter to the back of the Xbox console and plug the USB cable into the correct port.
This wireless adapter must be synced with a router, and if everything is working correctly, the light turns green, and your network is discoverable. If making a wired connection, plug one end of the network cable to the router and the other end to the Xbox console. Alternatively, connect one end to the modem and the other to the console. The Xbox is now just another device and results in an automatic connection to Xbox Live if all cables are working and properly attached.