The first step in setting up your iPhone is to choose the language you want to use it in and what your home country is.
Choosing your iPhone's language determines what language the text on the screen will be in. Tap the language you want to use and then tap the Next button in the top right corner.
Next, tap your home country. This won't prevent you from taking the phone to another country and using it there, but you need to set a home country. When you have, tap the Next button to continue.