The first thing you have to do of course is to obtain and install Reason (with the Reason Factory Soundbank.rfl file in the Reason folder). Once Reason is installed and working, start the program.

The first time you start Reason, the preferences dialog will come up. If it does not, you can always acces the Preferences dialog with the menu edit -> Preferences...

In the Audio page you have to select an Audio Card Driver for your soundcard, like ASIO (24-bit) or whatever is in the list. Just make sure it's not "no sound" :-)

You should also select a good default song on the General Preferences page. The default song is the .rns file that Reason opens whenever you start the program, or start a new song (you start a new song with the menu File -> New). The Reason default song should contain at least a Mixer, and not too much more, because when making music you'll just create devices as you go according to your needs. Browse through your HD and select a default song. If you don't have one made yet, "empty rack.rns" in the templates folder is the next best choice.

It's also convenient to go to Sound Locations and point Reason to some folders that will contain any samples you create by yourself, or the location for refills you downloaded, or the Reason folder with the Factory Soundbank Refill... This works like some sort of bookmarks, so that these folders can be accessed easily from anywhere in Reason.

Now, onto your first Reason experience!