To set up a new website in Adobe Muse, open the program and create a new document with specified page dimensions, then use the master page to insert site-wide elements like headers, footers, and menus. The learning objectives are to learn how to open Muse, set up a new document, add required pages to meet the brief's requirements, and export the finished website to a folder. The document provides guidance on setting up a new Muse project and exporting it when complete.