Use the extension manager to install linkvalidator. It is not installed by default.
Apply the needed changes to the database.
You are advised to use cURL to check for links. Linkvalidator uses the HTTP request library shipped with TYPO3. Please have a look in the Install Tool at the section "All Configuration" which includes an HTTP section at the end.
There you may define a default timeout and you may change from using sockets to using the cURL library.