No special setup is required for Microsoft Push Notification Service. All that is required is that the setting Third-party push notification is enabled in the Central Services setup panel. See Central Services.
You can verify that a Windows Phone (WP) device is connected in the following way:
Install the DME client for Windows Phone on a WP device, and synchronize.
Verify that the device is shown in the Devices tab in DME.
Make sure that Third-party push notification is On in the Preferences > Adaptive push section of device settings (for the device, for the group, or by default). See Settings.
Synchronize the device again. A full system information sync will provide a new property called MPNS Device Token (visible in Devices > click the WP device > Information), which is necessary for the Microsoft Push Notification Service to work.