I bought a handful of Echo Dots on sale. You need a tablet (I had trouble with my phone) running the Alexa app and your Wi-Fi network name and password handy for the initial setup -- the tablet has to sign in to the Echo and tell it how to use your home network. After that you're up and running and might occasionally use the app or Alexa web site to tweak some settings or read your shopping list.
As for privacy concerns, the smart speaker itself is dumb and is only listening for the magic word. When it thinks it hears "Alexa", "Echo", "Amazon", or "Computer" (you get to choose) it will stream your voice to the mothership for interpretation. This is all automatic, humans hear only a small fraction of the recordings to make sure Alexa is working right. That's how Amazon, Apple and Google all do it, and it's good enough for me.