The Finch robot is ready to go, you don't need to set up anything on the robot itself. Just plug in the USB cable, wait for the computer to detect it and run your programs!
Go to the FinchRobot.com website for directions to set up your computer in Java, Snap, Dreams, Greenfoot, Python/Jython, Processing, Scala, C++ and many more to come.
There are packages available, ready to run, for many different IDEs as well. It's super-easy to set up and get running.