Woocommerce Shipping

Could someone point me in the right direction for setting up shipping costs in Woocommerce. I have read all the documentation I can find, but I don’t know how to set different shipping options and prices. I am just starting out and only have three items. One of these is a digital download so I also need to be able to tell Woocommerce that there is no shipping on this item. Any help is appreciated. Thanks.