Setting up CockroachDB Dedicated, a distributed cloud-native database, is straightforward and can be done in a short time, even on the free tier with limited runtime resources. The process involves registering for an account, verifying your email, selecting database options like cloud provider and hardware configuration, downloading and installing CockroachDB, and starting the SQL shell to create your database. Users can choose between free and paid plans, with various options affecting price and features, such as the choice of cloud provider between GCP or AWS and the number of nodes. Once set up, users can create and manage their database using SQL commands, similar to other relational databases, and access resources like schema design documentation, third-party tools, and Cockroach University courses to maximize their experience.