This will start the installation process for the backup software. If you don't see the 'WD Apps Setup', look for a folder called 'WD Apps for Windows', if you are using Windows or 'WD Apps for Mac' if you are using OS X to find the application installer for your operating system. After a few seconds (up to a few minutes), the drive will appear in your 'My Computer'. If you have a USB 3.0 port (usually blue) on your computer, use that as it will make a huge differences in the speed at which your computer gets backed up. Don't worry if it doesn't turn on right away.
The instructions are for Windows users and may be different if you are using a Mac/OS X or using a newer/different version of the software. This article will provide you with additional information will hopefully answer some of your questions regarding the My Book drive.
There isn't a lot of documentation that comes in the box with the WD My Book drive.