How do I set-up a WAN?

Assuming you are referring to a Wide Area Network you first build your
LANS (Local Are network) and then connect them through the public
telecom infrastructure.

Unless you have previous experience in Networks it is not something to
be tackled lightly and with such information as can be provided in a
brief post.

Depending on budget you can use either or both of the most favorite
type of WAN format. One which is cheapest of the two is utilizing your
current ISP(Broadband needed) service which is most popular and mostly
popular and sometime used as a backup. The costly one would be using a
telecom infrastructure. You will also need  high end equipment(s) and
costly professional to set it up. For using the ISP Broadband you
would set up a VPN which you can do cheaper with equipment(s) that has
capability of Site-to-Site VPN. Linksys and Sonicwall has that
capability as I have configured for some clients. For using a telecom,
the most common services used are Tie line or T. You will need a
network engineer or someone capable or setting up the WAN devices and
all the routing table to have your WAN running. Thats pretty much it.
Most likely configuration I see if that the telecom Wan configured as
the main connection between sites and the VPN as failover for site
connections.