The first time you run mu, you need to initialize its store (database). The default location for that is ~/.cache/mu/xapian, but you can change this using the --muhome option, and remember to pass that to the other commands as well.
Assuming that your maildir is at ~/Maildir, we issue the following command:
$ mu init --maildir=~/Maildir
Optionally, you can add some e-mail addresses, so mu recognizes them as yours:
$ mu init --maildir=~/Maildir --firstname.lastname@example.org --email@example.com
mu remembers the maildir and your addresses and uses them when indexing messages. If you want to change them, you need to init once again.
If you want to see the current values, you can use