The 123.hp.com/setup is actually a website which is set up by HP technicians to help people set up their HP Printer by downloading the printer drivers and other software through this website. On this website you can find directions on how you can connect your HP Printer wirelessly, with help of USB cable and even things like how one can install a cartridge in the printer.
In Windows, search for and open Control Panel. Click Devices and Printers, and then click Add a printer. Select Add a network, wireless or Bluetooth printer. On the Select a printer window, select your printer, click Next, and then follow the on-screen instructions to install the driver.