How to set up this LED R7s lamp?
Those things are components.  You're not allowed to use components directly in a house.   

You need to use a fixture which is designed to be used for household lighting.  These are sold in home improvement stores.  The manufacturer has gone through the appropriate process to get listed and tested as a fixture - so there's a stamp (and file number) from TUV, BSI, CSA, UL, ETL or other competent testing lab. CE is not a testing lab. 

If you were to start up a company to manufacture fixtures, you would make the fixtures out of components such as those sold by Conrad. (Presumably, though, you'd pay wholesale). 

Conrad sells them to the consumer as repair parts for fixtures.  

If you want to "brew your own" built-in lighting, then use low-voltage lighting (12-24V) fed from listed low-voltage transformers.  You must still use care, but it sidesteps some of the safety issues. 

Further, use either socketless LEDs, or sockets which are unique to LEDs.  What you have linked is a halogen socket, with an LED designed to be retrofit into a halogen fixture.  Nothing would keep someone from yanking out that LED and sticking a real 500W halogen bulb in there.  So don't give them the opportunity.