Hello Trobarts!
Welcome to Apple Support Communities. We understand that you're running into an error when attempting to download an app from the App Store for the first time using your Apple ID. We're happy to help with this so you're able to get the apps you need on your new iPhone.
You mentioned that the error states you've not used iTunes or need to set up iTunes. If you created a new Apple ID on the web and see a message that you need to sign in to iTunes, check out the steps under the "If you see a message that you need to sign in to iTunes" section of How to create a new Apple ID These steps should help with your ability to purchase content with your account.
Also, in some instances, you may need to update or add a payment method for your Apple ID. Read more here: If you can't remove your last payment method or use no payment method with your Apple ID
Let us know if this information helps!
Regards.