You shouldn't have to set a focal length on this lens. Ensure your lens contacts are clean and the lens is mounted properly before switching the camera on.
For zoom lenses, you choose how you want to influence the shake reduction mechanism. Set it to the highest focal length, and it starts kicking in at shutter speeds slower than approximately 1/(focal length). This would ensure all focal lengths are covered in slow shutter speed handheld shots. Some users choose halfway between to get the best of both worlds - totally up to you.
As this is more of a beginner's question, I have moved this to the Beginner's Q&A corner. Also, the title of the thread does not correlate to either of your questions. I have changed it slightly to reflect this. Please consider this next time you post.