Always setup on a secure object with plenty of safe space around you.
The extension arms can be used to make the straps longer, to wrap around a beam or if you join both straps of the suspension trainer to one extension strap you can spin around without the straps getting tangled (useful sometimes).
The locking screw is optional and most people remove it completely. However, it can be handy to keep the suspension trainer secure, such as if anchored in a shared space like a gym.
If using with the door anchor, try to attach on a door that opens away from you or place the anchor near the hinge. It's probably wise to lock the door too, if possible.