To set up a position, you have to be in Edit mode. To enter Edit mode you simply click the Edit button in the tool bar. There is currently no keyboard shortcut or menu item for entering edit mode. The Edit button is a toggle button and you will stay in edit mode until you release the button by clicking it again.
If your Edit button in the toolbar is disabled it is because there is no game or match in progress. With the current state of GNU Backgammon there must be a game or match in progress to be able to enter edit mode. (This may change in the future.) If there is no game in progress and you want to set up a position, you can simply start a new game or match by clicking New in the toolbar.
When you are in edit mode you will see the the text (Editing) in the match information box below the board.