The setup program is located at /usr/sbin/setup. If you were logged-in as root you would simply enter setup to start the Setup Utility. If you were a user you would enter the full path: /usr/sbin/setup to run the program, but because you don't have the privileges to access any of the options it would be pointless.
So why does root only need to enter setup to run the program? It's because /usr/sbin is on root's PATH but not on a normal user's, so it knows where to find it. Even when you su to root you don't inherit root's PATH. To su to a user, with that user's environment, you add a - immediately after su.
Here's what each of the options does:
Authentication configuration
Password settings.
Keyboard configuration
Hmmm, I wonder?
Mouse configuration
Ditto.
System services
The services automatically started by Linux when booting.
Sound card configuration
Definately your first port-of-call.
Timezone configuration
If you set the wrong timezone during installation or have moved to a different country then you'll want to pick this. ;)
X configuration
Here you can change your monitor and video card settings. And also whether or not Linux automatically boots into X.
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