If you have a wired controller, plug it into a USB port behind the little USB door. If you have a wireless controller, hold the silver "X" button in the middle of the controller until the upper left quadrant of the system power button as well as the ring around the "X" button on the controller light up. If it doesn't light up, press the controller connect button on the Xbox 360 as well as the connect button on the top of the controller.
If this is the first time the system has been used, you'll have to go through an onscreen setup process. This is simply setting up your player profile, choosing HDTV settings if available, and/or signing up for Xbox Live service. The system walks you through everything.
Now you are ready to play.