iCloud is in settings. Assuming you've already migrated your mobileme account to iCloud or created a new account, then iCloud works in the background, syncing contacts and calendars from your mac. You do need to get into system preferences on the mac and go to the iCloud settings there as well. It's similar on a pc, but I'm not experienced in that aspect.
As for automatic sharing on your computer you need to have LION installed.
After that you go to System prefs Click iCloud and Blammo you are all set It has a nice walkthrough.
Word of warning, gmail sync with iCloud turned on will not work. Lame I know, but yeah.