No that is not a good way to train the dog. It's a good way to teach them some really bad habits though. Especially running a setter pup with a flushing dog. Your dog's job isn't to get birds in the air, it's a setter so they point not flush, you can eventually offer that command later if you desire but some people think it's not a good idea because you can easily end up with a dog that bumps birds. Setters tend to range pretty far, so the last thing you would want is a dog bumping birds 100 yards out.
Please invest the money in some proper training if you don't have the experience. This dog will hunt for you for over a decade and the least you can do is put in a year of dedicated serious training. It's not worth the heartbreak or the frustration of having an ineffective dog in the field because you took shortcuts.
The introduction to the gun is a whole process of its own that involves distractions and shortening distances and increasing calibers. It's not something that just happens but it is something that can make a gun shy dog who's hunting days are forever over if you don't do it right.
Seek some guidance, be fair to yourself and your new hunting partner and you will have years ahead full of amazing memories. If you need professional help pay for it or get the help from someone you trust with proper knowledge. Don't rush things and if you don't know how to approach a new training scenario just ask !
There are lots of books and dvds out there as well as lots of online forum discussions to read. So do a little research into some of this even if you will seek professional help, as someone who trains competitive trials dogs I can tell you it makes a huge difference when the owner understands what's being accomplished. No one is going to be able to tell you how to train a proficient gun dog from a reddit Comment, so put in the work....do your research and seek the help you need from professionals when you need it. Ensure you and your new friend have a great feather filled future ahead.