If you have Office 2013 desktop applications, you can go ahead and start using them with Office 365.
If you have Office 2010 or Office 2007 instead, click Set up. Your version of Office will be configured so that you can:
Use Outlook and Office 365 together for email and more
Save Office documents to OneDrive
In some cases, you may need to manually configure Office 2010 or Office 2007. For more information, see manually update and configure desktops for Office 365.