I have a new MacBook Air. I CANNOT set it up Where is this "migration assistant? How do I use it

See the instructions in Move your content to a new Mac - Apple Support including the following:

Open Migration Assistant, which is in the Utilities folder of your Applications folder. Then click Continue.

Or just use search -- the magnifying glass icon near the top right of the menu bar to find it.

Strongly advise you not to use Migration or Time Machine.

You just got a new M1 Mac, new architecture, etc.

Most important, Big Sur is pretty new under the hood because of M1 chips, so I would tell you to keep it as clean as possible by setting it up as new.

Install your favorite apps. Know that since Catalina 32-bit apps are no longer supported. If you have any, check with the developer about an updated version or look for an alternative.

About your personal data, copy from your old Mac to and external drive and then copy to your new Mac. This will guarantee that you get only what really matters.

With that you'll have a clean install, free from debris like files and settings from old versions that could cause you some trouble.

Yeah, bit of a hard work, but the best for your Mac's performance.