No setup required, just plugin and go. All you may need to do is select the USB audio input in your recording software eg Audacity.
Pi 2 running LibreElec Krypton, Pi 2 running Wheezy Desktop, Pi 1 headless Wheezy, downloading Radio, Pi 1 running Picore headless Media Server, Pi Zero to be an Old Time Radio Project. Pi 3 testing. Pi Zero W downloading Radio shows headless.