I was going to write some big article on how to set up a Marvel game, but the link on the Downloads page called: Marvel RPG Campaign Construction - Polyhedron Articles Collected does a way better job than I could - except for a point or two.
Number One - Don't feel obligated to play just Marvel Universe Characters and don't be limited by any so called canon. If you want Hellboy and Batman running around - Great. One of the great features of The MSH RPG is that with the benchmarks for powers and abilities provided, you can model a character into your game pretty accurately. If you want All-New, All-Original characters, even better.
Number Two - You can even mess with geography. My home campaign, for instance is based in Astro City and Project Pegasus is just outside town. Use the Marvel Deluxe City Campaign Boxed Set (available at Classic Marvel Forever) if you want a New York or big city - Gotham, Metropolis, Freedom City, etc., type game. It's a great supplement.
Are you having fun yet?