Well, you have a LOT of reading to do. You probably have a good heli there, but it almost certainly isn't really RTF, so you will have to check everything. That means do the following things:

1) Check over the airframe for loctite where it is supposed to be. Refer to the assembly instructions for that.
2) Check the belt tension. It should be possible to make the two sides of the belt touch, but only just.
3) Check the main gear mesh. There should be a little bit of backlash, but it should also be meshing all the way around (main gears are never perfectly round).
4) Read all the instructions that come with it.
5) Search the net for how to set up the gyro. I don't know which one you have so I can't point you at a good page for that. Obviously you're going to have to do this on the ground, or at least while you learn to fly, which is hard. It can be done though.
6) Make sure the swashplate is accurately level with the radio on and the heli powered up. Exactly how to do this will depend on your radio, and may involve adjusting the length of a few linkages.
7) Search the net for "Radd's school of rotary flight". That's the best way to learn to fly. Read it all before doing anything more.
8) Search for some throttle curves for your particular setup. Use governor if you have one.
9) Get a flight sim, even FMS (which is free) will do for this step. Hook up your transmitter and do Radd's school in the sim till you can hover in your sleep. Treat the simulator as if it is real and you spend money every time you crash.
10) Start doing Radd's school for real, and in a few packs you'll be hovering. Then you can set up your gyro for real. Now you really do spend money every time you crash.
11) After you can hover, start working around until you can hover side-in, then start working on figure-eights, make them rounder, then work on nose-in. That'll take about 50 packs or so, and in the mean time you can read about everything else you can do with a heli.