Set up involves putting out all the directional signage and building the finish area etc.
Knock down is the reverse of this.
Marshalling basically just means making sure they all go in the right direction, help anyone who might need assistance, stop the general public getting in the way (though anyone getting in the way of a few thousand women all dressed in pink deserves everything they get) and shout encouragement to the stragglers to keep them going.
Course starts at the town hall, meanders through the town centre and ends up in Queen's Park. You could be anywhere on that route. You may be issued with a radio so that you can let race control know where the front and back of the race is.