You should have a AmigaOS 2.xx disk called Install. that one is used to install amiga OS on HD, partition it etc.
But like bloodline suggest, upgrading to OS 3.1 is recommended. That would include new rom chip and disks.
Then its basicly down to what you want.
To take advantage of the full 40gb hd out of the box I would recommend a IDE interface from ELBOX. It ships with lba48 adressing modes drivers and with added features of CD/DVD drivers and an additional IDE port.
To get the fastest performance I would recommend SFS filesystem aswell.
so to sum it up: this would be recommended.
OS 3.1 floppy setOS 3.1 Rom A600Elbox IDE interfaceIf you know your way around EBAY you can get this considerably cheaper.
Next you should perhaps forget about os 3.9 and above. you can get 3.1 fairly up to speed with the updates classicWB contains.
hope this helps