to setup LuxRender, please follow the following steps:

1. install LuxRender

LuxRender for Windows LuxRender for OS X LuxRender for Linux
Windows OS X
Linux

2. download and install an exporter for your 3D program of choice

Blender Autodesk Maya Autodesk 3Ds Max Maxon Cinema 4D SoftImage XSI
Blender Autodesk Maya Autodesk 3Ds Max Maxon Cinema 4D SoftImage XSI