Set the tumblers to the pre-set factory combination. This is generally all zeroes, though this can differ depending on the brand of your lock.
Pull out the lock's shackle, then turn it around halfway and push it in. Hold the shackle down, then turn it one quarter turn in any direction.
Set a combination of your choosing while still holding the shackle down. Do not use any number that could be easily guessed, including your address, birthday or part of a phone number. Avoid using the same number for all digits of the combination.
Replace the shackle in its original position without turning the lock's dials. Pull the shackle back out, then turn it 180 degrees.
Push the shackle in, then turn the dials to lock it. Open the lock by turning the dials to the chosen combination.