Assemble your Arducopter Frame

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
You can also use your own frame for arducopter if you want, the ardupilot mega hardware/software will work on almost any frame (up to 8 motors) so it does not have to be an official arducopter frame.

Ardupilot Mega 2 quick-start guide for Arducopter

Once you have built your arducopter frame, follow the steps below to quickly setup and configure your board for your first flight