In the WordPress Admin CP, go to Settings > Article and Forum Connect: XenForo and WP
Enter your forum URL into the XenForo URL field.
If you are using Article and Forum Connect Plus, you will also need to configure the XenForo addon.
After entering your forum URL, you will be able to select an integration method. The options available to you will depend on whether you have the XenForo addon installed. For details on picking an integration method, please see Choosing an integration method.
If you would like to automatically create threads for new posts, you will need to set up Automatic Thread Creation.