Alexa can be set up during the device onboarding process. After the initial pairing, an Alexa setup card will pop up. Tap Get Started to begin.
If you choose to skip Alexa at this step, you can find it again under "Updates" on the home screen. Tap on the card to begin your Alexa experience at any time.
Make sure to follow the in-app instructions to give Alexa proper permissions. Log in to your Amazon account to maximize what you can do with Alexa on your watch.