There is no automatic setup available for AIR.
In order to build applications using AIR, you must have the Adobe AIR SDK installed.
Download the Adobe AIR SDK, and extract it on your system.
Next, open a command-prompt or terminal and run the following command (using the path to your AIR SDK):
lime config AIR_SDK path/to/air/sdk
If you encounter any problems when setting up Lime for AIR, please visit the forums.