You do want a coarse grind for a french press coffee maker. The key is letting the coffee steep long enough to make a strong brew.
We recommend grounding your beans right before you brew your first pot using the grinder that is included with this gift set.
As a general rule, if you are at a higher altitude, then you need to add time because boiling water is cooler. I have good results with a 5 minute steep time. (Note that I am at 5000ft, so 5 minutes may be too long for you, at a normal altitude try closer to 4 minutes) Be sure to use a timer, and compare different times to find the optimal brew.
You can make good tasting coffee with finer grounds, but they may clog the filter, or if they are too fine, they might pass through it altogether, giving you a rather gritty pot of coffee.