When creating a project in Jira you can select between a Team-managed project and a Company-managed project. If you are trying to set up Xray in a Company-managed project, you may need to involve a Jira Admin to add Xray Addon from the marketplace.
In case it's already added then to set up Xray in a Company-managed Project you need to:
Add Xray Issue Types
At your project, navigate to “Xray Settings” under “Project Settings”. Then, proceed by clicking on “Summary”.
Under the Xray Settings banner select the options "Add Xray Issue Types"
(Video Description: Example for adding all issue types)
Configure Requirements & Defects
Navigate to “Xray Settings” under “Project Settings”. Then, proceed by clicking on “Test Coverage” & "Defects Mapping".
(Video Description: Example for Covering Requirements & Defects)
If you wish to learn how to setup Xray in a Team-managed project please check this article [Xray Cloud] How do I setup Xray in a Team-managed Project?.