Go to Leads and Lead Capture.
For the first time integration, you need to click on Get Lead Tracking Form inorder to add it in your website or landing page
Copy the code and paste it in your website and the form will appear on your website.
Go to Settings and general settings, then Lead Capture Settings to insert the mail id to which you want to receive the form data along with data capture in the CRM.
If someone fills the data, the data will be captured in the CRM as well as you will receive a mail.
From the Lead Capture page, you can either convert and move them to a valid lead for further followup or delete a lead incase of a junk lead.