x86 Based Machines
Install VirtualBox , Oracle VM VirtualBox is available for many different operating systems, and installation depends on your host OS. If you have installed software before, installation should be straightforward.
Configure NAT Network
For the virtual machines running on your host, you will most likely want to use a NAT network. A NAT network groups the systems using NAT and prevents systems outside of this network from directly accessing systems inside it, but letting systems inside communicate with each other and with systems outside using TCP and UDP over IPv4 and IPv6.
Setup Target Machines
For your target machines you can use OVA files for Linux and Windows. Linux VMs are free and you can get Windows VMs from here, Choose the VirtualBox file if using VirtualBox. You can also use a WarGame site like HackTheBox or get VMs from VulnHub.
Setup Kali Linux
Kali Linux is a Debian-based Linux distribution that is tailored toward penetration testers and security researchers. It is pre-configured and can be used for penetration tests, security audits, and forensics. You can get Kali Linux from here