The Alexa "app" is installed on a smart phone or tablet (e.g., an iPhone or iPad). Assuming that you have a new Amazon Echo, instructions are here:
https://www.amazon.com/gp/help/customer/display.html/ref=hp_left_v4_sib?ie=UTF8&nodeId=202189140
If you have a computer with wi-fi capability (most laptops), you can configure Alexa by going to https://alexa.amazon.com/
In either case you'll have to have (or create) an Amazon account. If you're going to use your own Amazon account, after you have things set up, you probably should go to Settings > Accounts > Voice Purchasing and either disable purchasing or set a "voice code" for authorizing purchases. Otherwise, your grandkids may put your bank account on a diet.