Before playing with the class, take the time to sit down and play a game with some friends before hand so you have a good understanding of the rules and how the flow of the game works.
The above video is an 8 minute walkthrough of how to play the game.
I use this slide show to teach students how to play the game and how to set up the game.
Before setting up, Have students exam the game box to see how pieces are put away and how everything has a place. Part of this process for students is set up and take down and it should be their responsibility to ensure that the game is taken down properly and that all pieces are accounted for.
As you move throughout this process on the first day, stop at each set-up stage to let the students set up as you go. Urge students not to go ahead and to keep pace with the rest of the class. The next day students should be encouraged to do the entire set-up process by themselves.
It is the responsibility of the students to ensure that the game is put away properly and that all pieces are still with the game. When starting the take down proccess, make sure that the students are counting their pieces and that they aren't missing any. My recomondation is the photocopy the 'game components' section in the rule book and glue it to the inside of the top of the box. This way, students can see exactly what is supposed to be inside the box.