If you are setting up your device through the PC or laptop then you need to download Alexa app from alexa.amazon.com
Make sure you have a stable internet connection process through the entire process.
You can also download Alexa app from the Google app store. Alexa is compatible with iOS 9.0 or higher, Android 4.4 or higher and Fire OS 3.0 or higher.
If you want to do Alexa Setup click here and get all the information about Alexa setup.