Insert all M3 screws and T-nuts into the rails:

For the 3x Z 400mm rails use 3030 M3 T-nuts and Cap Head Screws M3x12

For the 2x Y 350mm rails use 3030 M3 T-nuts and Cap Head Screws M3x12

For the X 400mm rail use 2020 M3 T-nuts and Cap Head Screws M3x8

The ends of the rails are secured with bumpers that prevent the carriage from sliding off the rail - those need to be removed for the final assembly. Once you need to remove those be careful not to drop the carriage as it will most likely loose all its ball bearings!