what to do first

Where are you getting it from? What kind of guitar? How much did you pay for it? What brand.

As for things you don't want to do: Don't tune it too sharp, or you'll break a string. Don't leave it in the cold for to long, keep it at the same temperature you'd want to be in (unless you're an Eskimo). Don't drop it, don't bang it, don't smash it like Townshend. Rub it down with a cloth after you use it, to keep it fresh and shiny. Don't put it anywhere where it might fall, or might be knocked into. If you are going to lean it against something, don't lean it with the fretboard facing out, the fretboard should be against the wall/object. Don't eat it, thats a pretty important one.

Godin Detour
SpiderII (30 watt)
TU80 tuner metronome
NPP10 guitar cables
$800 canadian + taxes
from the local music store called the Musicstop

The first thing you do is :D because you are now heading down a happy road.

I would ask the shop to walk you through tuning it the first time before you leave. That is where people have their first problem and end up breaking strings or just not getting it in tune.

As far as setup goes they should have atleast done some basic setup on it but who knows for sure not knowing the shop. Ask them to try it and see how it feels to them.

I would then take it home and start playing and you will shortly learn how it feels and you can start to get an idea if it is setup right or not. Don't assume right off that the setup is off if you are getting buzzing or the strings are hard to press etc. since in the beginning it is probably your technique or lack there of.

And above all enjoy the finger pain as it will go away in the not too distant future.

Yup, Nils has it right. They should be willing to set it up if you spent that amount (I'm not sure how that translates to American $$, but its around 500 or so give or take right?)

little bit more i think but close