You can sign in with a Microsoft account during Xbox One setup or after.
Signing in during setup
When you reach the Sign in with your Microsoft account screen, just follow the instructions to sign in with your Microsoft account.
Signing in after setup
Make sure your Xbox One is connected to the Internet. Then, choose Sign in in the upper-left corner of the Home screen, and select Add new.
Get more info on signing in to your Xbox One with your Microsoft account.