Before you start your new machine for the first time, there are a few things to prepare.
Connect your machine's power cable and connect it to the Internet.
The first boot of your Mac will ask you to register it with Apple. You can skip this step, but it is useful to do in case you ever need service. The installer will also ask for your iCloud user ID and password, and ask if you want to use "Find My Mac." Say yes. You can set up syncing your Mac with iCloud, or do that later (I sync my Address Book and not much else). I don't tell setup my Gmail, Twitter, and Facebook addresses.. this is up to you.
The first boot setup on a Mac will ask if you want to transfer files.
You can say no, and transfer files later using the "Migration Assistant."
After you have finished setting up the Mac, use Software Update to get the latest Apple changes.
If you have purchased software, and didn't restore it from Time Machine or an old Mac, install the programs from disc or download. If you restored Adobe Photoshop, Illustrator, etc. you may have to call Adobe to re-authorize it to your new machine. (They don't work weekends.) (You may need to adjust yourpreferences while you are installing software. Set your machine to require a login password, and to require it after sleep.)
You can transfer files from a Windows computer using an Ethernet cable, if the Windows computer has networking installed. See this Apple suport article. (If you want to import Outlook mail into Mail.app, you may need to buy a tool.. see the Apple articles for help.)
Your Mac will create a new Spotlight index (used when you search for things in the Finder). This will take hours, maybe overnight, and the machine will be slow until this finishes. Be patient.
Read the page about Security. If your Mac is a laptop, enable FileVault to encrypt the disk contents.
Read the page about Loss Protection. Write down your Mac's serial number and model number, and your user and iCloud passwords, and put them in a safe place.
I keep a big plastic envelope for each computer. Save the box that the computer came it for a while, in case you have to take it for repair. Read The Fine Manual that came with your Mac... it's short.