Turn all number dials to zero. New TSA locks are designed to open at 0-0-0 until you set a combination.
Pull the shackle up. Turn the shackle a quarter turn in any direction and press the shackle down firmly. Hold it down for the duration of the process.
Move each dial to the desired number of your combination. Double check to make sure that you have selected the correct numbers and then release the shackle.
Pull the shackle up, turn it to the proper direction and push it down into the locked position. Since the lock is currently at it's new unlock position, you must move at least one dial to hold the shackle down into the lock position.