First, you will have to create an actual Xbox Live account. You may use your pre-existing non-Xbox Live account by opening the Xbox Guide, switching to the settings tab, and re-running the intial setup. When prompted to Join Xbox Live, there should be an option to use a pre-existing account. This will change your Gamertag, but you can change it once for free. New Xbox Live accounts recieve 1-Month Gold Trials.
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You first either get a wireless adapter or a wired cord for xbox live. Then you sign up on xbox live's website. Then you go to the store and buy a membership. finally you enter the code onto your xbox from the membership.