First download the Android Wear app from the Play Store. You will need this to pair the watch with the phone and it allows you to change watch faces and some settings. It's also a good idea to charge your watch first or set it up while it's charging.
Once you power on the watch it will ask you to tap to begin, set your language, and ask you to install or open the Android Wear app on your phone.
After opening the Android Wear app it will help you pair your phone with your watch with a walkthrough.
Once the app finds your watch you'll see a pairing request to accept on the phone.
Congrats you're not connected, the watch will now check for updates, and it's time to setup your Google account on the watch.
One last step you'll want to take is to enable Android Wear to be excluded from battery optimization. This will ensure that you get your notifications pushed to your watch. This should pop up automatically or you'll usually find it later in the Android Wear app. If not you'll have to dig through the settings menu to apps, configure apps, special access, battery optimization. Navigating here can vary from phone to phone though.