Google Analytics is a great tool, but it has some quirky aspects that must be understood if you are setting it up for anything but your own personal website.
For reasons nobody seems to be able to figure out, Google doesn't allow Analytics accounts to be transferred. This means that if you're setting up Google Analytics for a client or anyone else, you must not set it up with your own Google/Gmail account! And if you're hiring someone to do it for you, don't let them do so. The account must not be tied to any person, or used for any purpose other than the administration of your website or domain.
I've reached the conclusion that the only way to handle this is to create a dedicated GMail account for each client. Immediately set the mail to forward to an appopriate person(s), because you'll not often log into it. You can use this account to set up Google Analytics, AdSense, Google Apps, and anything else related to the website or domain.
Be sure to record the account name and password carefully and include the information in your handover package if doing this for a client. The domain name might be a good choice for the account name as it's easy to remember, i.e. "mydomain.com@gmail.com".
Once you've set up the new Google account, recorded its name and password, and set the mail forwarding, go to http://analytics.google.com. Make sure you're signed in with the new account.
A short series of questions will lead you to your tracking code.
The tracking code must be placed in each page to be tracked, so it's best to place it in the footer if you want all pages tracked. I choose the footer because I want the page to load before external actions are carried out. Page loads should not be delayed while tracking code accesses an external server.