To connect the steering wheel to the PS4, connect the USB-A cable from the steering wheel to a USB port on the PS4 console. As soon as the console is switched on, the steering wheel will calibrate itself automatically. Then press the PS button on the steering wheel and log in to your PlayStation Network account for the steering wheel to work. You are then ready to play.
If the steering wheel is not recognised, it may be in PC mode. In this case, press the MODE button on the steering wheel, switch to PS4 mode manually using the D-pad and then press the PS button again.