how should I set up my 401k?

Big round of applause for already thinking about saving at 21. I'll soon turn 29 and I've been contributing since 21. I was once in the same boat as you are now. With another 45 years on your side before you can tap into your 401k you should be investing aggressively. You should be putting most of your money(over 90%) in stocks at this age. Don't worry about current market being down. This is a good time to get in and get some stocks and mutual funds cheap. Check if your 2nd employer offer any large cap growth funds. Also you can look for some mid cap and small cap funds. Apart from that look at international funds too. Key here is "diversification". For starter you can look at putting 60% in large cap, 20% in Small cap and 20% in international. Again this is just a way to get started. If you need more accurate answer you might want to search for "risk tolerance" tool. This will ask you sequence of questions and based on that it will suggest if you are conservative or moderate or aggressive. Also look at some asset allocator tool. Morningstar site is a good place to start. They have some free tools.

Every 401(k) plan has a "menu" of investment options. What's on your plan's menu?