Anaconda is a distribution of the Python for machine learning and data science that simplifies package management and deployment, allowing users to control versioning of packages in their code environments. To set up Anaconda, users can download it from its official website and follow steps such as creating a YAML file for versioning, activating an environment using the YAML file, confirming the Python version and GPU availability, and running Jupyter Notebook. Users can also use SSH tunnels to securely connect to remote servers and access the notebook. Additionally, Anaconda provides various commands for searching versions, creating environments, listing environments, using environments, stopping environments, and removing environments, which can help users troubleshoot common issues such as not seeing GPUs in their environment.