Simple set up, just fill with pre-boiled water, or sanitiser mixture, and insert into your pre-drilled hole/bung on your fermenter. The airlock creates a closed fermentation from inward contaminants. It will allow CO2 to blow off but not let any O2 or bugs into your fermenter.
 
The ideal scenario is to fill your airlock with ethanol such as Super Kill Ethyl Sanitiser. This will prevent bugs from growing in the liquid that you fill the airlock with and also if this gets sucked into you beer accidentally it is harmless and will not effect beer flavour.  It will just very slightly increase ABV.