How to set up a Steam profile showcase?

You unlock the ability to create an extra showcase every 10 levels. If your Steam level is lower than 10, you can't have any at all. This info is in the Trading Cards FAQ.

Once you've unlocked a showcase, simply go to your own Steam profile and click the "add a showcase" block with the dashed line around it.

Once you hit level 10, you can set a featured showcase in your profile settings. You get more showcases as you level up further.