While for adult cats, having time alone to explore a new place is best, for kittens they are used to constant companionship and staying with them while they explore their room is best.
Let them do this in their own time, and gently tap their litter tray, food and water to show them where they are. Speaking softly can help them feel comforted, as they will likely be timid at first.
Sit on the floor and let your new kitten come to you. Don’t force any interaction, and make sure everyone in the family is aware of this rule. If your kitten hides and won’t come out, then you can try leaving them for a little while to see if the peace and quiet gives them courage.
Once your kitten is bouncing around their room, and you are happy they are eating, drinking and using the litter tray happily, you can start leaving the door to their room ajar. They will explore in their own time, and you can enjoy watching their confidence blossom!