To set up an Exercise With Oxygen Therapy (EWOT) system, you'll need a few key pieces of equipment. First, you'll require an oxygen concentrator, which provides a steady flow of oxygen. You'll also need an EWOT mask or mouthpiece to breathe in the oxygen effectively. An EWOT reservoir bag is important too; it holds the oxygen before you breathe it in. Additionally, a workout area or equipment like a treadmill or stationary bike is necessary to perform exercises while using the system. Ensure you have a comfortable space and all parts are properly connected to get the best results from your EWOT system.