To setup Azure search follow this Sitecore guide Configure Azure Search.
There is not specific much setup for the DAM for Sitecore module. But you have to make sure the connection string name is correct.
The parameter connectionStringName in the following files, has to match the name for Azure search from this files \App_Config\ConnectionStrings.config.
- \App_Config\Include\damforsitecore\DFS.Assets.Azure.Index.Master.config
- \App_Config\Include\damforsitecore\DFS.Assets.Azure.Index.Web.config
By default it is called cloud.search.