Config > Hotkeys to change the jog keys. But be aware that you can't change the Mach3 screen orientation, so the keys will match the machine, but not the screen.
Probably 90% of the stuff in mach3, you'll never use.
Once it works, you need to setup the motor tuning (velocity and accel and steps/unit), then set up any switches you might be using, and that's about it to get started.
Best thing is probably to just ask a lot of questions if you need help.