The Gaggia Classic Pro comes more or less set up for you. Make sure to clean out the water reservoir with soap before inserting it into place in the base of the machine (you can either remove it to fill or pour from the top, which is much more convenient than you might think).
Before you ever get going on prepping your shot, make sure to turn the power switch on. This gets the machine ready, but if you put the portafilter in during this stage, it'll warm that up, too. Espresso can turn sour when it's made cold, and if the scalding water from the boiler hits a cold portafilter, it'll likely come out like there's an overload of citrus in it. I like that, for some strange reason, but I'm weird in that way.
Next, you want to insert the portafilter basket that corresponds with the type of coffee you'll use (pre-ground and/or ESE pod, or freshly ground). Just make sure you use the little plastic riser piece if you're going to use one of the pressurized baskets.
Once your portafilter is ready to go, grind your coffee (if you're grinding your own) and load up the basket. Remember, grind size and tamping are two key components, and what works with one blend (or even batch) may not work with the next, so you'll have to clue in on what works each time. Same goes for brew time, but that's some next-level stuff that even most (relative) snobs like myself don't dare approach. Most espressos are going to require roughly 30-40 pounds of tamping pressure and between about 20 and 35 seconds of brew time, but while 35 seconds might nearly incinerate one type of coffee, it could be just right for another. Play around with dialing in your machine and your coffee. This should be part of the fun, after all.
Lock your portafilter into the brew head and, if the light beneath the brew switch is on, that means the machine is primed and ready. Flip it, and delight in the caramel-colored tonic that lackadaisically runs in two perfectly even streams into your demitasse. If the stream is but a slow trickle, your grind size (for that particular bean, remember) is either too fine, or you've tamped it with too much force. (Pro tip: use a small measuring cup or a demitasse with measurements on it to learn how much of an extraction you like.)
And, again, remember to have some fun and play around. Talk to any good barista and you'll be appalled at how much coffee they dump out just to get their machines and beans going right in the morning. Two-time UK Cup Tasting Champion (also 8th in the World Cup Tasting Championship in 2013) barista master Jason Gonzalez once told me that he often spends up to half an hour dialing shots every morning at his Burlington, VT espresso shop Onyx Tonics.