First of all welcome on board.

I'm not sure yet if you'll actually like what you're going to receive, but we'll see.
The initial step will of course be putting the SIM from your Galaxy S6 over into the 950XL. When you then fire up the phone for the first time, you'll be guided through a couple of installation steps. One of these will suggest you to login with a Microsoft account. If you don't have one already, I suggest you create one now. So you're ready to go when the device is finally delivered.
From there on you can add email accounts, scoure the store to find some apps you might want to install and set up the device as you see fit.
A warning though, coming from Android you'll be missing quite a lot of apps.