Depends what you mean by set up. If you talking about activating it to work on a network then I'm pretty sure that itunes is the only way. If you want to be able to see the stuff on the iphone, do what Snowfox said.
go to your nearest optus store and ask them to activate it for you
usually most places will do it because there are too many idiots who buy iphones but don't know how to use itunes, i got mine activated instore personally