Set Up
My laser cutter came with a video file in .mpg format showing how to set it up. Most of this is obvious but worth watching so you don't miss anything, particularly the stuff that holds the cutting head during shipment. The video also shows how to clean the mirrors and lens (which should be done regularly), replace the laser tube when it needs it, and the main power board (should you ever need to).

The extractor fan and cooling pump were supplied with the machine however a container is required for the cooling water and for this purpose I purchased a big blue 55 litre tub (see bottom right of photo above), on eBay.
I also obtained a kitchen unit and a length of worktop from Ikea, and a laptop running Windows XP. The laptop was necessary because the NewlyDRAW software that comes with the cutter is Windows only. I had hoped to run it on my MacBook using Parallels Desktop however the laser cutter has a parallel connection (there is a USB version but it costs more), and of course the MacBook doesn't have a parallel port. I decided in the end to get a second hand Windows laptop on eBay.
Coolant System
A few people have asked me about this so I'll go into some detail:
My machine was supplied with a (pond) pump and I obtained a 55 litre tub on eBay. No particular reason for it being that size except that it was easily available.
Distilled water is recommended for the cooling system but I couldn't find a supplier. In the end I found an aquarium shop, 30 miles away, that sold "reversed osmosis water" a.k.a. "RO Water", for 15p/litre. I took my tub across to them and got them to put 45 litres in it (so it's not completely full). Remember that water weights 1kg per litre so 45 litres takes some hefting.
My tub (which had previously been used for the bulk transportation of olives), came with a screw top lid and the plastic insert/cover thing that you see in the photo to the right. As the photo shows I cut into this so that I could feed the tubes and the wire through the pumps. This prevents evaporation and contamination.
I did not add antifreeze or anything else to the water. My setup sits in the corner of my front room so it isn't going to be subject to cold. Additionally, as the tub is dark blue plastic and positioned in a shady spot, I don't anticipate any problems with algae.
I haven't noticed any change in water temperature when using the machine. I think it would take quite a lot of constant usage to warm up 45 litres of water and my normal pattern of use is that I'll spend a couple of minutes cutting something and then go off for several minutes to modify drawings, assemble things, etc. I guess I could manage with a lot less than 45 litres of water but as I said, the 55 litre tub was easily available to me.
The only thing I'm not happy about with this aspect of the system is that I have no indication that the water is flowing. I have wondered, if the pump died, whether I would be aware of it. I guess the machine would sound a bit different when I switched it on, but that's it. I did think to have the return tube to the reservoir out of the water so I could hear it trickling however this results in air being reintroduced to the laser tube every time the machine is switched off. Not good. If anybody has any bright ideas about how I could make some kind of indicator to show that the water is flowing, I've love to hear from them.
Beam Alignment
The video that came with my machine shows how to align the beam after changing the laser tube but, as everything worked right out of the box, I didn't think to check it until I read on a forum that the alignment can affect the power of the beam. When I did check it I found that the beam was not hitting the centre of the mirrors and had it been any further from the centre of the hole where it enters the cutting head, it would have missed entirely. Thus I spent a frustrating couple of hours adjusting the mirrors, followed by a cleaning session (instructions on the video), and am happy to report that the machine seems about 3 times more powerful as a result.
Two points are worth noting:
1. The beam was hitting the upper half of the first mirror. Getting it nearer to the centre would have meant raising that whole assembly or, lowering the laser tube. The tube is held in place by two padded straps and I observed that there was additional padding under the tube. I unfastened the straps, removed the additional padding, and VERY CAREFULLY fastened it back down. Even this was too high so I replaced the padding (approx 1/4") with something half as thick and VERY VERY CAREFULLY fastened it back down. This resulted in the beam hitting the first mirror much nearer the centre than previously.
2. I'm not an engineer but if there is any logic to the adjustment screws on the 1st and 2nd mirrors, I couldn't figure it out. A long process of trial and error got the job done but if I do ever make sense of the adjustment mechanism I'll write it here.
I feel that there is still room for improvement here and I plan to make a few changes in order to achieve it. These are detailed on my page about beam path modifications.