Read this: http://developer.nvidia.com/what-cuda
CUDA isn't a tangible thing. There is no "installing" it.
It's a part of the card.
You would install the proper drivers for your GPU, that's it.
"How do you set it up?" You plug it into the PCIe x16 slot, then plug either one or two 4/6/8 pin power supply cable(s) into it.
CUDA is a technology. It would be the same as building a rig with any other GPU.