How can I setup fingerprint to unlock the applications?

That will depend on the specific app. Each app needs to support Touch ID and locking the app with it for that to work. There is no global setting for that.

Check the Apps settings for such a feature. Contact the App developers if you want a specific app to support that.

It depends on the application. With my banking apps, I first need to setup Touch ID in Settings > Touch ID and Passcode and I also need to turn on the Touch ID option in settings in each app that supports it.