There are several things that will be setup during your first login to Salesforce. You will setup a password* and may be required to set up TFA (Two-Factor Authentication) settings.
To start the process of setting your password up, click the link (yup, long link) in the email that you receive from Salesforce. The title of the email will be "Finish Resetting your Salesforce Password".
or 
Upon clicking the link, you will be prompted to enter your desired password, confirm the password, and select a security question and answer. Once everything is entered, the "Change Password" button will turn blue. Click it.
Should a message appear requiring TFA settings, you may either use your email address (where a 5 or 6 digit code will be emailed to each time you log in from an unfamiliar locations - based on IP address and Browser cookie settings) or you may enter your cell phone number where the code will be sent to. If you want to verify via email, click "I Don't Want to Register My Phone". It is advised that you use your mobile device if possible as the verification will come there. This helps with mobile login should you use a mobile device.
Once done, you should be logged into Salesforce.com
If you are greeted with a "Welcome" prompt by Salesforce you will provided a VERY GENERIC overview of Salesforce. If you have department training/onboarding, it is advised to skip this page.
*this is not required to be the same as your Word of Life login credentials but does have the same character requirements