how do I set up for c++

What do you want to build: an application, a command line executable, or a library? And, what platform do you want to target: OS X, iOS, or one of the iOS variants?

If you don't have answers to these questions yet, and you just want to work on algorithms in C++, I recommend targeting OS X and building a Command Line Tool. Select New Project, then under OS X select Command Line Tool, and select C++ as the language. You'll have a single main.cpp source file to start with. To create more C++ source files for your project, use New > File and select C++ File under Source for OS X.

Sidebar: the iOS platform and its variants require Objective-C or Swift for application integration, and though it's common to add C++ code to such projects, one usually doesn't start in (or stay exclusively in) C++, so the path to "just using C++" isn't as obvious for those platforms as it is for OS X. When creating a project targeting iOS or a variant, the only options are Objective-C or Swift as the language, and when creating C++ source files, you have to take care to either wrap C++ inside C or Objective-C for calls between C++ and Objective-C or Swift, or use Objective-C++ source files (.mm file extension) to mix Objective-C with C++ in the same files.