On the calibre menu bar you should have an item "Connect/share".
Click on that and a drop down should include "Start wireless device connection".
Click that and after a few moments the item should change to "Stop wireless device connection" followed by the IP address of your system.
In most cases that's enough. When you click on CC's "Connect", CC will find calibre and establish a session with calibre. The Device column will appear in calibre and you can select books and send them to your device. Note that once you have books on your device, the initial sync between starting the Connect and the device column appearing in calibre will take a while, since CC has to exchange all of the metadata is has with calibre to determine which books are present on the device.
If you get a "Cannot find calibre" message, try to connect again.
Occasionally you may have to go into CC's settings and set calibre's IP address and port, but that's rare. Note that unless you've made changes in calibre, the port is 9090.