how do I set up Time Machine

You can't backup a Mac to iCloud like you can an iOS device. You can sync certain things like photos, contacts, calendar, notes etc.. To sync you simply need to go to the apple logo in the upper left corner, click on system settings, then click your name at the top, then iCloud, and turn things on under that area to start syncing.

To do a full, complete backup you need to use Time Machine and an external HD.

Plug in a blank external drive and it should ask you if you want to use it with Time Machine.

Back up your Mac with Time Machine - Apple Support