if all you want is sharing, take it to a friends house, set it up with your Apple ID then bring back home and plug into ethernet somewhere in the house.
Can is use my MBA to set up the ATV?
If you dump a configuration profile into it from configurator, it would not have to ask these questions. You load a ready-made complete setup in. Essentially, just another MDM solution (MDM = Mobile Device Management).Short answer: No. When you take it out of the box and plug it in, it's going to check what resources are available to it. What wifi networks are near me? Am I connected to a wired network? What is the resolution of the TV I'm connected to? Is there an iOS device around me that I can get config info from? Based on what it finds it's going to ask you questions that have to be answered. It's going to ask them the only way it knows how.... on some sort of HDMI display. Could be a TV or a projector or a monitor. Once configured you can ditch the display (until you need to troubleshoot something) but for that first couple minutes of setup you need something that can display HDMI output.
why I said plug into ethernet,You wouldn't be able to connect it to your own wifi network doing that.