GPU Rendering allows Blender to process images much faster than using the CPU. This step can be skipped if you do not have a dedicated Graphics Card or your card is not compatible, however it's strongly recommended if the option is available and works.
First, press Ctrl-Alt-U to open the Preferences window. After this, select the System tab in the top right. This will show either CUDA or OpenCL in the bottom left corner of the window. Click this option, tick your GPU, and press Save User Settings directly below this. You can now close this window.
This completes the setup of the GPU, and does not need to be repeated when you reboot. If the GPU Compute option is grey, repeat the steps from the beginning. If it does not change, your GPU may not be compatible.