How do I set up MGE XE properly? I don't know what some of the options mean. Also do I run the Morrowind Code Patch before or after MGE XE?

I'm not sure I can best answer your first question without knowing exactly what you're looking for. I don't use half of the buttons in the GUI; but for your second one: MCP can be run at any time in relation to MGE XE as MGE XE does not modify Morrowind.exe.