First thing you need to make sure when setting up direct deposit is that you should already have an established account. You can always ask your bank for details or information for doing the actual set-up. They will also provide you with account information which you can give to the HR department of your company. Ask information from HR also on how to have your tax refunds directed to your account.
After getting all the information you will need, you will be given a form. Fill this out completely and make sure that the information is correct. Check and recheck. Sign the form and make sure that all supporting documentation and other requirement are ready and in order. Submit to the appropriate channels.
Make sure that you submit everything early or on time so you won’t have to physically pick up your check for that particular cycle. This will also avoid any delay in the check getting deposited to your account. Watch the deposits closely for the next cycles and be prepared for special instructions as needed.

