Gossip starts up on a help page that guides you through getting it setup. Click "Help" in the upper right and then "Getting Started" on the next line down, and follow the instructions.

Unfortunately just about every other nostr client is manipulating you by automatically hooking you up with their preferred relays, driving your business and your private information through the relays that THEY selected for you, without even so much as a disclaimer. I refuse to engage in that behavior. I think it is disrepsectful and centralizing, not to mention fragile. This is why gossip doesn't have any relays setup when you start. Because I respect you and think that relay selection should be your choice, not mine.