The first step when your new kegging system arrives is to take the CO2 tank over to your local beverage supply, fire extinguisher supply, gas supply or other store and get the tank filled with CO2. You might want to weigh your CO2 tank both empty and full since this is the only way you will know how much CO2 you have left as you use it.
When you first fill the tank it will be cold. Allow the tank to sit overnight to settle down to room temperature before attaching the regulator. Next make sure the valves are all off and then carefully attach the regulator to your tank and gently tighten the fitting with a wrench. Hook up the hoses to your empty Cornelius keg and give it a test run by releasing the valves and gently turning the pressure up to 10 psi.
Next it is important to check for leaks -- use some soapy water to check all of the fittings for leaks. Leaky fittings will bubble when soapy water is applied.