I want to set up my password

Are you asking about a password or a passcode?

See the Apple Support article(s) below.

Passcode - Change and Help        

Passcode - If you forgot the passcode for your iPhone or your device is disabled.      

If you mean password, are you asking about an Apple ID password? If you forgot the Apple ID password, enter the Apple (iCloud) ID, and click Forgot Password. See if you can get a Rescue or Notification  email option if necessary.

Apple ID - Manage            

Apple ID – Forgot Password