There are different ways to set up a wallet. We recommend using the polkadot{.js}:
Install the Polkadot-js browser extension to manage accounts for substrate-based chains (like Integritee) for either Chrome or Firefox.
Visit the Integritee Network API endpoint and make sure you enable the extension for that site. When you visit that page for the first time, it will ask you to update your extension's metadata. Please do that.
In the extension, create a new account and make sure you back up the seed phrase securely and protect the account with a strong password.
Then, select Integritee Network from the drop-down list.
Integritee uses the Substrate-based chain address format SS58.
Integritee Network addresses start with the number 2. Polkadot addresses always start with the number 1. Kusama addresses always start with a capital letter like C, D, F, G, H, J, etc. Generic Substrate addresses start with 5. All those address formats are compatible, they're just an indication of the network they're meant to be used with.