Your camera should automatically connect after you click 'Start Set Up' however if the camera preview does not open, it could be that the 'Flash Plugin' is blocked.
Allowing the Flash Plugin
1. Click on the ' ... ' icon in the top right hand corner of your browser, click on 'Settings' and then 'Advanced Settings' See image below:
2. Make sure the 'Use Adobe Flash Player' option is on
3. You may need to reload your browser for the change to take effect
4. You may now see the 'Adobe Flash Player Settings' dialog box, see image below.
Click on the boxes next to 'Allow' AND 'Remember', see image below:
This will connect your camera and you should now have a preview from your camera. A 'Next' button will appear after a couple of seconds and you will be able to continue to 'Connect your microphone'.
If you don't have a preview from your camera, refresh your browser. It that still doesn't solve the issue, check your camera is working using another application, such as FaceTime or Skype.
If the camera is working correctly in that application, restart your computer, log back in and start the set up process again.