Step 1: Complete Mixed Reality Headset and Controller setup.

Step 2: If SteamVR isn't already installed, click steam://run/250820 to launch the Steam desktop app to install it. If you are unsure, got to Library -> VR and look for SteamVR. 

Step 3: Go to the Steam Store to install the free Windows Mixed Reality for SteamVR app.
Note: If this is the first time the Mixed Reality Headset has been set up on your computer, you may need to exit SteamVR and restart Steam before it will properly detect the HMD.

Step 4: Close the current Mixed Reality Session and make sure SteamVR is off, then run Windows Mixed Reality for SteamVR.

Step 5: Press Win+Y to enable desktop access, and run VR Toolbox: 360 Desktop in Steam.
Warning: Pressing the Windows button on the controllers can cause instability. If that happens and the session appears to be non-functional, close SteamVR and the Mixed Reality session then start it back up from step 4.