Before setting up your ardupilot mega board (the brains of your arducopter), you will need a multi-rotor frame. There are many choices available to you and a couple are listed below.
Official Arducopter Frame
Currently there are two official arducopter frame variations. A quadcopter and a hexacopter. These can be purchased in kit form that include all the motors and ESC that you need. Or if you prefer you buy the frame and choose your own motors and ESC
Another option is to build your own frame, you can use wood, a 3D printer, or any other material you can think of, your imagination is the limit!
3rd Party Frames
There are many other frames that are designed and manufactured by other companies, some of them include mounting options for ardupilot mega. However it is still easy to mount your autopilot to a custom frame by either drilling some holes, or by using double sided tape.