sabian and submitter are right: you cannot set it up all at once -- instead you have to do it bit by bit.
Try to install the script first. If it goes smoothly then read on. Otherwise try to figure it out. If you don't succeed ask the support team.
After that select the template that suits your needs most of all -- the colors, the placement of elements, etc.
Now look thru all the possible pages. Note what is ok and what you would probably want to change. Try to change it. I know, this might seem very difficult at first, but once you do it several times in different places you will get used to it and things won't seem that hard to complete.
Now try to add a category, two, three, as many as you want. Try to add subcategories. Then try to add some links. Try to do it on the site as well as in the admin panel. Check your inbox, did you receive any emails? Did you expect any of them? Yes? Do you see them? No? Then go to the admin panel and find out what's wrong with your directory script configuration. Try to fix. Submit some links again.
Try submitting the same link several time. Is the link accepted or not? Do you want to allow duplicate links? No? Then go find it out in your admin panel.
Now navigate to the categories and take a look at the listings. Again, probably you will notice something that you would like to change. Come on, do it.
And on and so on.
Do experiment with the script -- this will allow you to learn the script better and learn more opportunities to improve your directory.
Good luck.
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