To set up Apollo Client, first import ApolloClient and InMemoryCache from the Apollo library. Then create a new ApolloClient instance, providing a configuration object. This object must include the 'uri' property with the GraphQL server URL and a 'cache' property set to a new InMemoryCache instance. After these steps, the client is ready to send queries and mutations to the server. The execution flow starts with imports, then client creation, setting the URI, configuring cache, and finally the client is ready. Variables like 'client', 'uri', and 'cache' change state as the setup progresses. Common confusions include why both imports are needed and the importance of setting the URI correctly. The visual quiz tests understanding of these steps and variable states.