The PlayStation VR headset comes with its fair share of wires and connections that need to be sorted out before you can begin playing any VR games on the PlayStation 4. This video guide from IGN will show you how to setup the PSVR with the PS4.
There will be a blue guide inside the box that the PSVR came in. This booklet will explain all of the steps very briefly, but this video guide is much more in-depth and helpful if you are unsure exactly how to setup the PSVR with the PlayStation 4.
The PSVR comes with a small processor unit that looks quite similar to the design of the Playstation 4. Follow the guide to connect the HDMI from your PS4 into this box and then the HDMI out to your TV. There will then be 2 cables from the VR headset that you connect to the same unit. There will be a power supply that you connect to the back of the PSVR processor unit and finally a USB cable from the rear of the processing unit to any of the USB ports on the PS4.
If you have a PS4 Pro, take note that there is a USB port at the rear of the console. This is a useful port to use for the connection to the PSVR hub as it keeps cables hidden away and everything is nice and tidy.