Upon arrival in Luxembourg, you should visit your commune hall to request a tax card, which tells your employer how to calculate withholding tax. 
In order for you to receive one, you need to show proof of residence. Tax cards are only valid during the year in which you received it. Generally you are sent a new one automatically, but sometimes you need to request a new one for a specific year. 

Tax information in English is available on the “Guichet” public information portal.

Website: guichet.public.lu