Can someone help me with bike trainer set up?

You mean the little rotating cylinder that the wheel sits on? Yes, that is what you use to add resistance to the bike! You can adjust the tension - usually there's a knob of some kind. You don't HAVE to have any resistance, I suppose, but it feels more like riding on a road, if you do

yes the cylinder wheel. The tire right now is touching but not applying lots of pressure. I can sit and spin and the side silver wheel turns.  

thank you!

 Yup - if you want to make it easier, or harder, you can adjust the tension. A combination of adjusting the tension and shifting the gears on your bike can vary your workout without having get off and readjust.

It should be tight enough that the tire does not slip.  Resistance is adjusted by changing gears.  Follow the directions on page 3 to set it up. 

 ETA:  I assume by directions you mean you have the manual (online here: http://www.kurtkinetic.com/documents/kinetic_manual.pdf .  If your tire slips on the roller then it will wear out faster.  It will also heat the tire more and they run hot on trainers as it is.  The large flywheel to the right (when facing front) should not touch the tire.  It just spins to provide momentum.

i have this trainer....just follow the directions from the link from above.

i put the tension just enough that the wheel touches the roller.   i then give it a couple full rotations to add resistance.   i then adjust my gears to add or release tension during my rides.

btw.....that trainer rocks.....congrats

Just a quick mention that this is not the case; the tensioner knob is only to keep the tire from slipping, causing excessive heat buildup and premature tire wear. Turn the knob only 2-5 turns and test that the tire does not slip on the roller by grabbing the wheel and moving it back and forth. If it slips, tighten a little more. 

Use your gears to adjust the actual pedalling resistance. 

...and congrats on the KK purchase!