You can use the following checklist to help you set up and configure the CSE on your firewall. The full procedure is documented in the SonicOS Cloud Secure Edge Feature Guide.
Enable Cloud Secure Edge on the firewall (SonicOS Cloud Secure Edge Feature Guide).
You can also view the video that shows your how to enable Cloud Secure Edge.
Once you configure this connector on the firewall, be sure to record and remember the name of the connector. You need this name later so you can tell which connector the CSE needs to access.