There is no direct equivalent of [TestFixtureSetUp] in XUnit, but you can achieve similar functionality. This page lays out the translation between NUnit and XUnit (as well as a couple other C#/.NET test frameworks). However, XUnit largely got rid of setups/teardowns (this article explains why that decision was made). Instead, you need the test suite to implement an interface called IUseFixture<T> which can initialize some data for the fixture.
You might also want to read this overview of XUnit, written from the perspective somebody coming from an NUnit/MbUnit background.