If you already have a plex server and set up sections like Music, Video or TV-Shows you can skip this page and head directly to the Plugin Configuration. Just make sure you have a current version installed (the latest really!)
In order to use the MyPlexMedia plugin you need a server running PlexMediaServer software.
You can get the latest MAC oder Windows releases here: Plex Download
Please refer to the external Plex Wiki for more information on how to set up your server
the following links should cover the topic pretty comprehensively:
*http://wiki.plexapp.com/index.php/ConfigurePortForward (check this out when you want to connect MyPlexMedia via internet)