How do I setup graphexplorer for my tenant?

It doesn't need to be setup.
You can go to: https://developer.microsoft.com/en-us/graph/graph-explorer and start using it.

If you want, you can click on 'Signin with MIcrosoft' on the left so log in with your O365 account.
This way you can use the data of your own tenant

Some queries require extra permissions, that's why you need to click on 'modify permissions'