I use Eigen on a daily basis, there's no real setting up to use it - it's a template library, meaning only headers. You only add its location to the INCLUDEPATH variable in your project file and you're good to go (see @JKSH's link and here). Since I use linux and I already have eigen in my system path, I don't even do that step, I just code.
A piece of advice for after you get it working:
Don't use auto with Eigen! People have been bitten by it, and there's even a dedicated page in the docs why.