There are two considerations in deciding where to set your guitar strings. Ease of playing and tone. It is much easier to play a guitar that has a low action. This is fine for beginners but it will probably give you some fret buzz and, as you progress in your guitar playing, you might want to experiment with your guitar setup to try to achieve a variety of tone qualities. A guitar with a high action will yield more sustain and fuller tone. Here is a link to a guitar set up tutorial aimed at the guitar player who wants to do it all himself.
This video is a clean, no frills explanation of how to set up an electric guitar: