The first and most important consideration when interfacing a VFD and CNC machine is to not be such a moron that you have to ask what's the first step in interfacing a VFD and CNC machine on some random engineering forum.
I think the point is, if you have to ask this basic of a question, you probably are not the right person to tackle this project. This is not something that can be answered adequately in a forum like this, it requires a lot of detailed information about the devices involved, the tool they are used on, the use of the tool and other application knowledge. We have no way of assessing his/your level of ability to understand what we say, other than to read the original posting, which indicates a lack of basic capabilities.
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** All I every really wanted to be, was... A LUMBERJACK!.**