To play Insectron, you must have five insects in your inventory. You will receive your first bug trap and rearing cage in Jaraika. Go to Items, choose the trap, place food in it, then place it. Now go kill a few minutes. The trap will start beeping when a bug has entered. You can hear it if you're nearby or if you check in Items. I have found that you need to get to the trap pretty quickly, or the bug will escape with the food. Feed your bugs as you go along to up their stats and make them happy.
Once you're in Zerard, you can join the Insectron tournament at the Insectron Stadium. Make sure you have some money when you arrive. You'll have to buy an Insectron License for 3,000 zhen and then need 400 more to enter the E Rank tournament. Win one game for the trophy.