If this is a new project, you don't need to do much. It's as simple as selecting all the settings on their site and running the generated command - that's it.
If you want to add the library to an existing project, it's a little more involved but still straightforward. Follow these steps (detailed in their documentation):
Add Tailwind CSS.
Install shadcn/ui dependencies.
Configure path aliases.
Set up styles.
Add the cn helper.
Create a components.json file.
And that's it - you've installed the shadcn/ui library!