When you first unpack a train set, take it all out of the box and spread it around on a table. Make sure that you have everything that the kit should come with. If not, take it back to the store or hobby shop. Sometimes, it pays to make a call to the hobby shop instead.
Lay some track
To set up the track, place the two pieces on a flat surface and slide them end to end into each other. On each opposing rail, there should be a little metal piece called a rail joiner. These allow the continuation of electrical conductivity as well as stabilization of the rails to ensure proper alignment. This way, the tracks stay right where they are no matter how fast the train goes. If you find a rail to be missing a rail joiner, you can get one at the local hobby shop. Put them on with needle nose pliers. If you find that you have all the railjoiners, but the rails slip out, crimp the joiners on better with the pliers. Lionel trains shouldn't have this problem, as their three-rail system has the joiners embedded in the rail. You can still use pliers to remove them, but the tracks are designed so that they don't have to be moved.
EZ-Track and Tru-Track
Many new sets have roadbed and track combinations- the brands Tru-Track and EZ-Track. These just clip together, and you shouldn't have to worry about the loose railjoiners letting the track come undone- the roadbed clips should hold everything securely.
When setting up a train the first time, most modelers make the mistake of setting it up on the wrong surface. Never put the loop on carpet or filthy dirty floors, as fuzz and dirt will get caught in the locomotive. I suggest that you use a table for the train. If you can, build a train board (Layout) as soon as possible, and make sure to tack down the track.
Wire it in
Nearly all new train sets have terminal joiners for you to put the wires up to. No matter what system you have, you still will connect 2 wires to the tracks (even on three rail Lionel- the engine picks up power from a roller on the middle track). To do this, you must first strip the insulation off the wires; use scissors or wire strippers and remove about 1/2" of insulation. Then put the wires around the screws and tighten or in the clips of the terminal. Run the other end of the wire to the powerpack and connect it to the side that says "track" only. Many new sets have little plugs that you can use, instead, to make the connection. Just plug one end in the terminal and the other end onto the powerpack. BEFORE MAKING ANY CONNECTIONS TO THE POWERPACK, BE SURE THAT IT IS UNPLUGGED AND TURNED OFF COMPLETELY!
Run the trains
Start by putting the engine on the tracks, then all the cars. Clip them in together to make the train. Be sure that all the wheels are seated properly. Next, be sure that the tracks are clear ahead! Plug in the powerpack and slowly advance up the throttle. Now, the train should move. If it goes opposite the direction you wanted it to go, switch the wires on the powerpack. AGAIN, UNPLUG IT.