Note: To set up the home page you need to create the page. Follow this instruction:
Dashboard>Pages>Add New Page>
Enter Title of the page and Select Template: Home Page or Home Page with Sidebar
Setting a static front page allows you to add static content to your homepage. This is what you want to do to create a Home page with sidebar and Home Page.
Next Step For Front Pages
Set static front page by going to Appearance > General Setting> Static Front page> A static page> Choose font .page from pages and choose Post page which will display all the recent post randomly.